Prospect Theory, Partial Liquidation and the Disposition Effect.
We solve a liquidation problem for an agent with prospect theory preferences who seeks to sell a portfolio of (divisible) claims on an underlying asset. Our methodology enables us to consider different formulations of prospect preferences in the literature, and various asset price processes. We find...
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| Format: | Working paper |
| Language: | English |
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Oxford-Man Institute of Quantitative Finance
2009
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