We propose a multiple optimal stopping model where an investor can sell a divisible asset position at times of her choosing. Investors have \(S\)-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.

中文翻译：

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参考依赖的部分清算

我们提出了多重最优止损模型，在该模型中，投资者可以在选择时出售可分割资产头寸。投资者有\（S \）形状的参考相关偏好，从而在相对于参考水平的收益和损失上定义效用，在收益和收益上凹入，而在损失上凸现。对于时间均质扩散之后的价格过程，我们采用由Dayanik和Karatzas开发的建设性势理论解决方法（Stoch。Process。Appl。107：173-212，2003）。例如，我们回顾了Kyle等人的单个最佳停止模型。（J. Econ。Theory 129：273–288，2006）允许部分清算。与现有文献相反，我们发现投资者可能会以高于参考水平的不同价格阈值部分清算资产。在其他参数组合下，投资者以参考水平或高于参考水平的价格出售资产。