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Optimal strategies with option compensation under mean reverting returns or volatilities |
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| Authors: | Herzel Stefano Nicolosi Marco |
| Affiliation: | 1.University of Rome, Tor Vergata, Via Columbia 2, 00133, Rome, Italy ;2.University of Perugia, Via A. Pascoli 20, 06123, Perugia, Italy ; |
| Abstract: | Computational Management Science - We study the problem of a fund manager whose contractual incentive is given by the sum of a constant and a variable term. The manager has a power utility function... |
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