Download or read book Optimal Risk-Averse Timing of an Asset Sale written by Tim Leung and published by . This book was released on 2019 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.