  This paper studies the optimal risk-averse timing to sell a risky asset. The
investor's risk preference is described by the exponential, power, or log
utility. Two stochastic models are considered for the asset price -- the
geometric Brownian motion and exponential Ornstein-Uhlenbeck models -- to
account for, respectively, the trending and mean-reverting price dynamics. In
all cases, we derive the optimal thresholds and certainty equivalents to sell
the asset, and compare them across models and utilities, with emphasis on their
dependence on asset price, risk aversion, and quantity. We find that the timing
option may render the investor's value function and certainty equivalent
non-concave in price. Numerical results are provided to illustrate the
investor's strategies and the premium associated with optimally timing to sell.
