Cao, Bo
(2009)
Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power.
Masters thesis, Mathematical Institute.

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Abstract
A disposition effect is the observation that investors tend to sell winning stocks too early and hold losing stocks too long. In this paper, we investigate whether expected utility theory explains the disposition effect. We implement two models of expected utility theory: exponential and power. We show that for reasonable parameter values the disposition effect can be explained by expected utility theory.
Item Type:  Thesis (Masters) 

Subjects:  H  N > Mathematics education 
Research Groups:  Mathematical and Computational Finance Group 
ID Code:  783 
Deposited By:  Laura Auger 
Deposited On:  23 Jul 2009 07:27 
Last Modified:  29 May 2015 18:28 
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