We consider the dynamic casino gambling model initially proposed by Barberis [Manage. Sci., 2012, 58, 35-51] and study the optimal stopping strategy of a pre-committing gambler with cumulative prospect theory (CPT) preferences. We illustrate how the strategies computed in Barberis [2012] can be...

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 pre-committed gambler, who commits her future selves to the strategy she sets up today, and of a naive gambler, who is unaware of...

This document contains supplementary materials to "Optimal Exit Time from Casino Gambling: Strategies of Pre-committed and Naive Gamblers" by X.D. He, S. Hu, J. Obloj, and X.Y. Zhou.The paper to which these supplementary materials apply will appear in the SIAM Journal on Control and Optimization...