Techical Note-Path-Dependent and Randomized Strategies in Barberis' Casino Gambling Model

• 成果类型: Article
• 署名作者: He, Xue Dong; Hu, Sang; Obloj, Jan; Zhou, Xun Yu
• 署名单位: Chinese University of Hong Kong; The Chinese University of Hong Kong, Shenzhen; University of Oxford; University of Oxford; Columbia University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2016.1545
• 发表日期: 2017
• 页码: 97-103
• 关键词: PROSPECT-THEORY; CHOICE; RISK; betweenness; probability; VIOLATIONS; utility

摘要

We consider the dynamic casino gambling model initially proposed by Barberis (2012) and study the optimal stopping strategy of a precommitting gambler with cumulative prospect theory (CPT) preferences. We illustrate how the strategies computed in Barberis (2012) [ Barberis N (2012) A model of casino gambling. Management Sci. 58(1): 35-51.] can be strictly improved by reviewing the betting history or by tossing an independent coin, andwe explain that the improvement generated by using randomized strategies results from the lack of quasi-convexity of CPT preferences. Moreover, we show that any path-dependent strategy is equivalent to a randomization of path-independent strategies.