Optimal strategies with option compensation under mean reverting returns or volatilities
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Publication:1722748
DOI10.1007/s10287-017-0296-3OpenAlexW2776251895MaRDI QIDQ1722748
Stefano Herzel, Marco Nicolosi
Publication date: 18 February 2019
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-017-0296-3
Fourier transformoptimal controlinvestment analysisportfolio managementmean reverting processesconvex incentives
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Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Portfolio management with benchmark related incentives under mean reverting processes
- On relative performance, remuneration and risk taking of asset managers
- Optimal strategy for a fund manager with option compensation
- A variational problem arising in economics
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Closed form spread option valuation
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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