Risk seeking, nonconvex remuneration and regime switching
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Publication:5249751
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites work
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An optimal dividend and investment control problem under debt constraints
- Asset allocation under multivariate regime switching
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Continuous-time stochastic control and optimization with financial applications
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Option pricing and Esscher transform under regime switching
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- The return on investment from proportional portfolio strategies
Cited in
(7)- Portfolio management with benchmark related incentives under mean reverting processes
- Asset management, high water mark and flow of funds
- Implicit incentives for fund managers with partial information
- Optimal strategy for a fund manager with option compensation
- The value of knowing the market price of risk
- On relative performance, remuneration and risk taking of asset managers
- A martingale approach for asset allocation with derivative security and hidden economic risk
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