Abstract
We characterize in terms of primitives on risk preferences the stopping and the continuation regions of optimal stopping problems, where an agent without commitment decides when to stop a diffusion. We consider separately the case of a naive agent who is unaware of the possible time inconsistency and the case of a sophisticated agent who is fully aware of a possible time inconsistency in her behavior. Among other things, we apply the general results to fully characterize the extreme cases of never stopping for the naive and never starting for the sophisticate across an extensive range of non-expected risk preference models.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
