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• W2950680611 abstract "I consider the problem of portfolio optimization for a manager whose compensation is given by the sum of a constant and a variable term. The constant term is a fixed percentage of the managed funds that is payed to the manager independently of his performance. The variable term is a premium that is proportional to the profit earned by the manager over a benchmark at a certain evaluation date. I find the optimal strategy and the optimal portfolio value in the Black-Scholes setting when the benchmark is a linear combination of the risky asset and the money market account." @default.
• W2950680611 created "2019-06-27" @default.
• W2950680611 creator A5010879036 @default.
• W2950680611 date "2017-01-01" @default.
• W2950680611 modified "2023-09-27" @default.
• W2950680611 title "Optimal Strategy for a Fund Manager with Option Compensation" @default.
• W2950680611 doi "https://doi.org/10.2139/ssrn.3046530" @default.
• W2950680611 hasPublicationYear "2017" @default.
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