When to Quit Gambling, if You Must!

  title={When to Quit Gambling, if You Must!},
  author={Sang Hu and Jan Obł{\'o}j and Xun Yu Zhou},
  journal={DecisionSciRN: Rational Decision-Making (Topic)},
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 to stop gambling by a prescribed deadline. We assume that the gambler can assist their decision using an independent randomization, and explain why it is a reasonable assumption. The problem is inherently time-inconsistent due to the probability weighting in CPT, and we study both precommitted and naive stopping… 



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