何时出售资产？——一种分布构建器方法
When to Sell an Asset? - A Distribution Builder Approach
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中文总结 AI 辅助
该研究基于分布构建器方法，将最优资产出售问题与Skorokhod嵌入问题关联，在资产服从几何布朗运动且目标分布特定时，可观察到风险-收益权衡。
中文摘要 AI 辅助
我们研究具有随机动态的资产的最优出售时机问题。我们的分析基于Sharpe、Goldstein和Blythe[文献SGB00]为最优投资组合选择引入的分布构建器方法。该工具不指定效用函数或风险厌恶系数，而是直接引出投资者的目标分布。我们证明，在该设定下，最优资产出售问题如何与将某一分布嵌入扩散过程的Skorokhod嵌入问题相关联。当资产过程遵循几何布朗运动且目标为某一特定分布族时，可观察到风险-收益权衡关系。
英文摘要
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.
