위험관리 | Cases and Studies of Risk Management in Lottery & Gambling | 危險管理
- date : 2015-05-20 01:10|hit : 2635
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- Article] Risk Aversion, Indivisible Timing Options, and Gambling
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DocNo of ILP: 924
Doc. Type: Article
Title: Risk Aversion, Indivisible Timing Options, and Gambling
Authors: Henderson, V; Hobson, D
Full Name of Authors: Henderson, Vicky; Hobson, David
Keywords by Author:
Keywords Plus: EXECUTIVE STOCK-OPTIONS; INCOMPLETE MARKETS; DECISION-ANALYSIS; OPTIMAL EXERCISE; AGENCY COSTS; INVESTMENT; UNCERTAINTY; FIRM; COMPENSATION; CONSUMPTION
Abstract: In this paper we model the behavior of a risk-averse agent who seeks to maximize expected utility and who has an indivisible asset and a timing option over when to sell this asset. Our main contribution is to show that, contrary to intuition, optimal behavior for such a risk-averse agent can include risk-increasing gambles. For example, a manager with a choice over when to disinvest from a project, a private homeowner with a property to sell, or an employee with a grant of American-style stock options may be better off taking positions in other assets with zero Sharpe ratio that are uncorrelated with the underlying project, house, or stock price risk. The results have wider implications for the modeling and interpretation of portfolio optimization problems involving American-style timing decisions.
Cate of OECD: Economics and business
Year of Publication: 2013
Business Area: gamble
Detail Business: gamble
Country: Germany
Study Area: invest, invest, behavior, risk
Name of Journal: OPERATIONS RESEARCH
Language: English
Country of Authors: [Henderson, Vicky] Univ Oxford, Oxford Man Inst, Oxford OX2 6ED, England; [Hobson, David] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England
Press Adress: Henderson, V (reprint author), Univ Oxford, Oxford Man Inst, Oxford OX2 6ED, England.
Email Address: vicky.henderson@oxford-man.ox.ac.uk; d.hobson@warwick.ac.uk
Citaion:
Funding:
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Number of Citaion: 45
Publication: INFORMS
City of Publication: HANOVER
Address of Publication: 7240 PARKWAY DR, STE 310, HANOVER, MD 21076-1344 USA
ISSN: 0030-364X
29-Character Source Abbreviation: OPER RES
ISO Source Abbreviation: Oper. Res.
Volume: 61
Version: 1
Start of File: 126
End of File: 137
DOI: 10.1287/opre.1120.1131
Number of Pages: 12
Web of Science Category: Management; Operations Research & Management Science
Subject Category: Business & Economics; Operations Research & Management Science
Document Delivery Number: 106AY
Unique Article Identifier: WOS:000316115000010
[이 게시물은 HyeJung Mo…님에 의해 2015-05-20 17:09:59 GAMBLING에서 이동 됨]
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