Partial Liquidation under Reference-Dependent Preferences


We propose a multiple optimal stopping model whereby an investor can sell a divisible asset position at times of her choosing. Investors have S-shaped reference-dependent preferences whereby utility is defined to... [ view full abstract ]


  1. Vicky Henderson (University of Warwick)
  2. Jonathan Muscat (University of Warwick)

Topic Areas

Optimal Stopping , Utility Theory


MO-A-BU » Dynamic Preferences (11:30 - Monday, 16th July, Burke Theater)

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