Optimal Strategies With Option Compensation Under Mean Reverting Returns or Volatilities


We study the problem of a fund manager whose contractual incentive isgiven by the sum of a constant and a variable term. The manager has a power utility function and the continuous time stochastic processes driving the... [ view full abstract ]


  1. Marco Nicolosi (University of Perugia)
  2. Stefano Herzel (University of Rome Tor Vergata)

Topic Area

Optimal Investment


TU-P-B2 » Utility Maximization: Opinions, Constraints and Computation (14:30 - Tuesday, 17th July, Beckett 2)

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