Purpose The prospect theory is potentially an essential ingredient in modeling the disposition effect. However, many scholars have tried to explain the disposition effect with the help of prospect theory and they came to opposite conclusions. The purpose of this paper is to examine the impact of value function of the prospect theory on predicting the disposition effect. Design/methodology/approach Lagrange multiplier optimization and dynamic programming method are used to solve the representative investor’s optimal portfolio choice problem. Furthermore, numerical simulation is used to compare the prediction ability of different types of value function. Findings The authors support that the value function has a crucial role in predicting the disposition effect with prospect theory, i.e. the curvature and boundedness of the value function may influence the performance of applying the prospect theory in the disposition effect. They conclude that a piecewise negative exponential value function can predict the disposition effect, while others like the piecewise power value function may not. Originality/value Extant literature about modeling the disposition effect with the prospect theory mostly focus on the time when gain-loss utility occurs or the selection of reference point. This paper based on the value function properties provides a new perspective in analyzing the crucial role that value function has in predicting financial market anomalies.

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前景理论可以解释处置效果吗？基于价值函数的分析

目的前景理论潜在地是对处置效果进行建模的基本要素。但是，许多学者试图借助前景理论来解释这种处置效应，但得出了相反的结论。本文的目的是检验前景理论的价值函数对预测处置效应的影响。设计/方法/方法拉格朗日乘数优化和动态规划方法用于解决代表性投资者的最优投资组合选择问题。此外，使用数值模拟来比较不同类型的值函数的预测能力。结论作者支持价值函数在利用前景理论预测处置效果方面具有至关重要的作用，即 价值函数的曲率和有界性可能会影响在配置效果中应用前景理论的性能。他们得出结论，分段负指数值函数可以预测处置效果，而分段功率值函数等其他函数则不能。独创性/价值有关利用前景理论对处置效应进行建模的现有文献主要集中于收益损失效用发生的时间或参考点的选择。本文基于价值函数属性，为分析价值函数在预测金融市场异常中的关键作用提供了新的视角。而像分段功率值函数之类的其他函数则可能不会。独创性/价值有关利用前景理论对处置效应进行建模的现有文献主要集中于收益损失效用发生的时间或参考点的选择。本文基于价值函数属性，为分析价值函数在预测金融市场异常中的关键作用提供了新的视角。而像分段功率值函数之类的其他函数则可能不会。独创性/价值有关利用前景理论对处置效应进行建模的现有文献主要集中于收益损失效用发生的时间或参考点的选择。本文基于价值函数属性，为分析价值函数在预测金融市场异常中的关键作用提供了新的视角。