Dynamic Trading with Realization Utility

• 成果类型: Article
• 署名作者: Dai, Min; Qin, Cong; Wang, Neng
• 署名单位: Hong Kong Polytechnic University; Hong Kong Polytechnic University; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.13472
• 发表日期: 2026-02
• 页码: 189-238
• 关键词: PROSPECT-THEORY; optimal consumption; disposition; INVESTMENT; investors; reluctant; portfolio; long

摘要

An investor receives utility bursts from realizing gains and losses at the individual stock level and dynamically allocates his mental budget between risky and risk-free assets at the trading account level. Using savings, he reduces his stockholdings and is more willing to realize losses. Using leverage, he increases his stockholdings beyond his mental budget and is more reluctant to realize losses. While leverage strengthens the disposition effect, introducing leverage constraints mitigates it. Our model predicts that investors with stocks in deep losses sell them either immediately or after stocks rebound a little.