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q-fin.MF2026
Optimal exit strategies of CPT gamblers in unfair gambles
Sang Hu, Xun Yu Zhou
In this paper we study optimal exit strategies of gamblers with cumulative prospect theory (CPT) preferences in games where the expected payoff is strictly negative at each play, a…
q-fin.MF2021
When to Quit Gambling, if You Must!
Sang Hu, Jan Obloj, Xun Yu Zhou
We develop an approach to solve Barberis (2012)'s casino gambling model in which a gambler whose preferences are specified by the cumulative prospect theory (CPT) must decide when…