Partial liquidation under reference-dependent preferences
研究投资者在参考依赖偏好下如何分次卖出可分割资产，发现投资者可能在高于参考点的多个价格阈值上部分清算，而非一次性卖出。
Abstract We propose a multiple optimal stopping model where an investor can sell a divisible asset position at times of her choosing. Investors have $S$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mi>S</mml:mi></mml:math> -shaped reference-dependent preferences, whereby utility is defined over gains and losses relative to a reference level and is concave over gains and convex over losses. For a price process following a time-homogeneous diffusion, we employ the constructive potential-theoretic solution method developed by Dayanik and Karatzas (Stoch. Process. Appl. 107:173–212, 2003). As an example, we revisit the single optimal stopping model of Kyle et al. (J. Econ. Theory 129:273–288, 2006) to allow partial liquidation. In contrast to the extant literature, we find that the investor may partially liquidate the asset at distinct price thresholds above the reference level. Under other parameter combinations, the investor sells the asset in a block, either at or above the reference level.