David Hobson

University of Warwick

CV4 7AL

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS

928

SSRN CITATIONS
Rank 19,581

SSRN RANKINGS

Top 19,581

in Total Papers Citations

16

CROSSREF CITATIONS

37

Scholarly Papers (13)

1.

Randomized Strategies and Prospect Theory in a Dynamic Context

Number of pages: 29 Posted: 29 Nov 2014 Last Revised: 06 Jan 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and University College London
Downloads 338 (116,332)
Citation 6

Abstract:

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Behavioral economics, prospect theory, probability weighting, randomized strategies

2.

Probability Weighting, Stop-Loss and the Disposition Effect

Number of pages: 58 Posted: 16 Aug 2016 Last Revised: 06 Mar 2017
Vicky Henderson, David Hobson and Alex S. L. Tse
University of Warwick, University of Warwick and University College London
Downloads 298 (133,183)
Citation 4

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Prospect theory, behavioral finance, disposition effect, investor trading behavior, probability weighting.

3.

Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization

Number of pages: 33 Posted: 16 Feb 2018 Last Revised: 03 Aug 2020
Vicky Henderson, David Hobson and Matthew Zeng
University of Warwick, University of Warwick and University of Warwick
Downloads 142 (263,362)
Citation 2

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Stochastic Choice, Cautious Stochastic Choice, Randomization, Optimal Stopping

4.

An Elementary Approach to the Merton Problem

Paper accepted to Mathematical Finance.
Number of pages: 21 Posted: 01 Jul 2020 Last Revised: 30 Mar 2021
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Warwick - Department of Statistics
Downloads 102 (334,393)
Citation 2

Abstract:

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Mathematical Finance, Merton Problem, Stochastic Control, Expected Utility Maximization, Numeraire Change

5.

The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility

Number of pages: 41 Posted: 16 Jul 2021
Joseph Jerome, Martin Herdegen and David Hobson
University of Warwick - Department of Statistics, University of Warwick - Department of Statistics and University of Warwick
Downloads 17 (680,041)

Abstract:

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Epstein--Zin stochastic differential utility, lifetime investment and consumption, backward stochastic differential equations, optional strong supermartingales.

6.

Gambling in Contests with Random Initial Law

Number of pages: 20 Posted: 31 May 2014
David Hobson and Han Feng
University of Warwick and Hangzhou Normal University
Downloads 15 (694,996)
Citation 3

Abstract:

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Seel-Strack problem, Gambling contest, Nash equilibrium, Skorokhod Embedding

7.

Proper solutions for Epstein–Zin Stochastic Differential Utility

Number of pages: 29 Posted: 15 Dec 2021
Martin Herdegen, David Hobson and Joseph Jerome
University of Warwick - Department of Statistics, University of Warwick and University of Warwick - Department of Statistics
Downloads 6 (766,853)

Abstract:

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BSDEs, Epstein--Zin preferences, investment-consumption problem, proper solutions.

8.

Robust Bounds for Forward Start Options

Mathematical Finance, Vol. 22, Issue 1, pp. 31-56, 2012
Posted: 21 Jan 2012
David Hobson and Anthony Neuberger
University of Warwick and City University London - Faculty of Finance
Downloads 4 (782,592)
Citation 2
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robust hedging, super‐replication, cheapest super‐hedge, forward start straddle

9.

Optimal Timing for an Indivisible Asset Sale

Mathematical Finance, Vol. 18, Issue 4, pp. 545-567, October 2008
Number of pages: 23 Posted: 19 Sep 2008
University of Bath, University of Warwick and University of Warwick
Downloads 3 (790,754)
Citation 1
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10.

Optimal Liquidation of Derivative Portfolios

Mathematical Finance, Vol. 21, Issue 3, pp. 365-382, 2011
Number of pages: 18 Posted: 20 May 2011
Vicky Henderson and David Hobson
University of Warwick and University of Warwick
Downloads 2 (800,333)
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portfolio liquidation, utility maximization, calculus of variations, optimal strategy, price impact

11.

Optimal Consumption and Investment Under Transaction Costs

Mathematical Finance, Vol. 29, Issue 2, pp. 483-506, 2019
Number of pages: 24 Posted: 13 Mar 2019
David Hobson, Alex S. L. Tse and Yeqi Zhu
University of Warwick, University College London and Credit Suisse U.K. Limited
Downloads 1 (812,133)
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Merton problem, proportional transaction costs, no transaction region, well‐posedness, leverage

12.

Gambling in Contests with Regret

Mathematical Finance, Vol. 26, Issue 3, pp. 674-695, 2016
Number of pages: 22 Posted: 10 Jun 2016
Han Feng and David Hobson
University of Warwick and University of Warwick
Downloads 0 (829,731)
Citation 2
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gambling contest, Nash equilibrium, Skorokhod embedding, regret theory, maximum process

13.

Bounds for In-Progress Floating-Strike Asian Options Using Symmetry

Annals of Operation Research, Vol. 151, No. 1, 2007
Posted: 06 Mar 2008
University of Warwick, University of Warwick, King's College, London and University of SurreyLancaster University - Management School

Abstract:

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Asian options, Floating strike Asian options, Put call symmetry, Bounds, Change of numéraire