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Optimal exit time from casino gambling: Strategies of precommitted and naive gamblers

Abstract:

We consider a casino gambling model with an indefinite end date and gamblers endowed with cumulative prospect theory preferences. We study the optimal strategies of a precommitted gambler, who commits her future selves to the strategy she sets up today, and of a naive gambler, who is unaware of time-inconsistency and may alter her strategy at any time. We identify conditions under which the precommitted gambler, asymptotically, adopts a loss-exit strategy, a gain-exit strategy, or a nonexit s...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1137/18M1174738

Authors


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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
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Name:
European Commission
Grant:
335421
Publisher:
Society for Industrial and Applied Mathematics
Journal:
SIAM Journal on Control and Optimization More from this journal
Volume:
57
Issue:
3
Pages:
1845–1868
Publication date:
2019-05-28
Acceptance date:
2019-03-21
DOI:
EISSN:
1556-5068
ISSN:
0363-0129
Language:
English
Keywords:
Pubs id:
pubs:997719
UUID:
uuid:fe98f1e1-dfb6-43b0-beda-247f8b50838e
Local pid:
pubs:997719
Source identifiers:
997719
Deposit date:
2019-05-12

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