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 an indivisible asset and a timing option over when to sell this asset. Our main contribution is to show that, contrary to intuition, optimal behavior for such a risk-averse agent can include...

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Bibliographic Details
Main Authors: Henderson, V, Hobson, D
Format: Journal article
Language:English
Published: 2013