Probability weighting, stop-loss and the disposition effect
Probability weighting, stop-loss and the disposition effect is a scholarly work, published in 2018 in ''Journal of Economic Theory''. The main subjects of the publication include prospect theory, weighting, statistics, Cumulative prospect theory, econometrics, Bellman equation, range, expected utility hypothesis, asset, Monetary-disequilibrium theory, mathematical economics, probability distribution, asset pricing, disposition effect, economics, loss aversion, auction theory, value, and mathematics. The authors show for a wide range of value and probability weighting functions, including those of Tversky and Kahneman (1992), that the optimal prospect takes the form of a stop-loss threshold and a distribution over gains.