- Risk Aversion Indivisible Timing Options And Gambling Disorder
- Risk Aversion Indivisible Timing Options And Gambling Sites
- Risk Aversion Indivisible Timing Options And Gambling Rules
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Abstract
This paper studies the optimal risk-averse timing to sell a risky asset. The investor’s risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price— the geometric Brownian motion and exponential Ornstein–Uhlenbeck models—to account for, respectively, the trending and mean-reverting price dynamics. In all cases, we derive the optimal thresholds and certainty equivalents to sell the asset, and compare them across models and utilities, with emphasis on their dependence on asset price, risk aversion, and quantity. We find that the timing option may render the investor’s value function and certainty equivalent non-concave in price. Numerical results are provided to illustrate the investor’s strategies and the premium associated with optimally timing to sell.
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Relationships Between Risk Aversion, Prudence And Cautiousness,' Annales Universitatis Apulensis Series Oeconomica, Faculty of. Vicky Henderson & David Hobson, 2013. 'Risk Aversion, Indivisible Timing Options, and Gambling,' Operations Research, INFORMS, vol. 61(1), pages 126-137, February. More about this item Statistics Access and download.
In fact, no incentive schedule will make all expected utility maximizers more or less risk averse. This paper finds simple, intuitive, necessary and sufficient conditions under which incentive schedules make agents more or less risk averse. Indivisible Timing Options, and Gambling, Operations Research, 61, 1, (126), (2013). Indivisible timing option risk aversion risk averse agent optimal behavior timing option private homeowner indivisible asset american-style stock option stock price risk portfolio optimization problem main contribution american style timing decision assetswith zerosharpe ratiowhich.
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Risk Aversion Indivisible Timing Options And Gambling Disorder
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Risk Aversion Indivisible Timing Options And Gambling Sites
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