Yiwen Yang

Fudan University

600 GuoQuan Road

Shanghai, 200433

China

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When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model

Number of pages: 36 Posted: 30 Apr 2018 Last Revised: 17 Apr 2023
Shanghai Jiao Tong University, Chinese University of Hong KongCity University of Hong Kong, Shanghai University of Finance and Economics, Fudan University and School of Economics, Fudan University
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Abstract:

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Prospect Theory, Mean Reversion, Dynamic Asset Allocation, Trading Behavior, Disposition Effect