The Mathematical Institute, University of Oxford, Eprints Archive

Disposition Effect on Two Classical Expected Utility Models:
Exponential and Power

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 08:27
Last Modified:03 Aug 2009 10:28

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