When to Sell an Asset? - A Distribution Builder Approach

2026-08-19

AI Summary

本文使用分布构建方法解决资产最优出售时机问题，将问题与扩散过程中的Skorokhod嵌入问题关联，展示了风险-收益权衡。

Abstract

We consider the question of the optimal timing of the sale of an asset with stochastic dynamics. Our analysis is based on the method of the distribution builder introduced by Sharpe, Goldstein and Blythe [SGB00] for the purpose of optimal portfolio selection. Instead of specifying a utility function or risk aversion coefficient, this tool directly elicits the target distribution of the investor. We show how the problem of an optimal asset sale is in this setting linked to the problem of finding a Skorokhod embedding of a distribution into a diffusion process. In the case where the asset process follows a geometric Brownian motion and a specific family of distributions is targeted, one can observe a risk-return tradeoff.

Problem

• optimal timing
• asset sale
• stochastic dynamics

Innovation

• distribution builder
• Skorokhod embedding
• geometric Brownian motion