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Randomized strategies and prospect theory in a dynamic context

Henderson, Vicky; Hobson, David G.; Tse, Alex S. L. - In: Journal of economic theory 168 (2017), pp. 287-300

Persistent link: https://www.econbiz.de/10011747490

Probability Weighting, Stop-Loss and the Disposition Effect

Henderson, Vicky - 2017

Prospect theory (PT) has long been linked with the disposition effect. Despite significant progress towards rigorously modeling the trading behavior of PT investors, the literature has been largely silent on the effect of probability weighting. In this paper we incorporate probability weighting...

Persistent link: https://www.econbiz.de/10012968476

Probability weighting, stop-loss and the disposition effect

Henderson, Vicky; Hobson, David G.; Tse, Alex S. L. - In: Journal of economic theory 178 (2018), pp. 360-397

Persistent link: https://www.econbiz.de/10012026410

A multi-asset investment and consumption problem with transaction costs

Hobson, David G.; Tse, Alex S. L.; Zhu, Yeqi - In: Finance and stochastics 23 (2019) 3, pp. 641-676

Persistent link: https://www.econbiz.de/10012023758

Local time, coupling and the passport option

Henderson, Vicky; Hobson, David G. - In: Finance and stochastics 4 (2000) 1, pp. 69-80

Persistent link: https://www.econbiz.de/10001486624

Passport options with stochastic volatility

Henderson, Vicky; Hobson, David G. - In: Applied mathematical finance 8 (2001) 2, pp. 97-118

Persistent link: https://www.econbiz.de/10001628628

Real options with constant relative risk aversion

Henderson, Vicky; Hobson, David G. - In: Journal of economic dynamics & control 27 (2002) 2, pp. 329-355

Persistent link: https://www.econbiz.de/10001703408

A new class of commodity hedging strategies : a passport options approach

Henderson, Vicky; Hobson, David G.; Kentwell, Glenn - In: International journal of theoretical and applied finance 5 (2002) 3, pp. 255-278

Persistent link: https://www.econbiz.de/10001674216

A comparison of option prices under different pricing measures in a stochastic volatility model with correlation

Henderson, Vicky; Hobson, David G.; Howison, Sam; … - In: Review of derivatives research 8 (2005) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10002975937

Optimal liquidation of derivative portfolios

Henderson, Vicky; Hobson, David G. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 365-382

Persistent link: https://www.econbiz.de/10009155206

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