Optimal strategy for a fund manager with option compensation

DOI10.1007/s10203-017-0204-xzbMath1391.91150OpenAlexW2774999263MaRDI QIDQ1640170

Marco Nicolosi

Publication date: 13 June 2018

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-017-0204-x

zbMATH Keywords

optimal controlinvestment analysisportfolio management

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Implicit incentives for fund managers with partial information ⋮ Optimal strategies with option compensation under mean reverting returns or volatilities ⋮ Optimal investment strategies with a minimum performance constraint

Cites Work

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• Risk Management with Benchmarking
• RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING

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