We consider the problem of stop** a diffusion process with a payoff functional that renders
the problem time‐inconsistent. We study stop** decisions of naïve agents who reoptimize …

The statistical concept of gambler's ruin suggests that gambling has a large amount of risk.
Nevertheless, gambling at casinos and gambling on the Internet are both hugely popular …

In this paper, a behavioral mean-variance portfolio selection problem in continuous time is
formulated and studied. Unlike in the standard mean-variance portfolio selection problem …

Prospect theory is arguably the most prominent alternative to expected utility theory. We
study the investment or gambling behavior of a prospect theory decision maker who is …

We develop an approach to solve the Barberis casino gambling model [Barberis N (2012) A
model of casino gambling. Management Sci. 58 (1): 35–51] in which a gambler whose …

When prospect theory (PT) is applied in a dynamic context, the probability weighting
component brings new challenges. We study PT agents facing optimal timing decisions and …

We study optimal stop** for a diffusion process with unknown model primitives within the
continuous-time reinforcement learning (RL) framework developed by Wang et al.(2020). By …

For optimal stop** problems with time-inconsistent preference, we measure the inherent
level of time-inconsistency by taking the time required to turn the naive strategies into the …

We propose an experimental method to elicit stop** times—each subject's complete
contingent plan for taking a risk for up to five times—to study repeated risk-taking under …