Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomisation


We study Cautious Stochastic Choice (CSC) agents facing optimal timing decisions in a dynamic setting. In an expected utility context, the optimal strategy is always a threshold strategy. In the CSC setting, the investor has a... [ view full abstract ]


  1. Matthew Zeng (University of Warwick)
  2. Vicky Henderson (University of Warwick)
  3. David Hobson (University of Warwick)

Topic Areas

Optimal Stopping , Utility Theory


MO-A-BU » Dynamic Preferences (11:30 - Monday, 16th July, Burke Theater)

Presentation Files

The presenter has not uploaded any presentation files.