Until the Bitter End: On Prospect Theory in a Dynamic Context

• 成果类型: Article
• 署名作者: Ebert, Sebastian; Strack, Philipp
• 署名单位: Tilburg University; University of California System; University of California Berkeley
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20130896
• 发表日期: 2015
• 页码: 1618-1633
• 关键词: expected utility; risk-aversion; skewness; disposition; preference; MODEL

摘要

We provide a result on prospect theory decision makers who are naive about the time inconsistency induced by probability weighting. If a market offers a sufficiently rich set of investment strategies, investors postpone their trading decisions indefinitely due to a strong preference for skewness. We conclude that probability weighting in combination with naivete leads to unrealistic predictions for a wide range of dynamic setups.