Article ID: | iaor2017662 |
Volume: | 65 |
Issue: | 1 |
Start Page Number: | 97 |
End Page Number: | 103 |
Publication Date: | Feb 2017 |
Journal: | Operations Research |
Authors: | Zhou Xun Yu, He Xue Dong, Hu Sang, Oblj Jan |
Keywords: | programming: dynamic |
We consider the dynamic casino gambling model initially proposed by Barberis (2012) and study the optimal stopping strategy of a precommitting gambler with cumulative prospect theory (CPT) preferences. We illustrate how the strategies computed in Barberis (2012) [Barberis N (2012) A model of casino gambling.