Risk Aversion, Indivisible Timing Options and Gambling.
In this paper we model the behavior of a risk averse agent who seeks to maximize expected utility and who has a timing option over when to sell an indivisible asset. Our first contribution is to show that, contrary to intuition, optimal behavior for such a risk averse agent can include risk increasi...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Oxford-Man Institute of Quantitative Finance
2009
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