Executive Stock Options and Time Diversification
AbstractWe study the time diversification issue in the context of the optimal asset allocation of an executive with decreasing relative risk aversion preferences, who is granted a package of European stock options. The asset menu for his unrestricted wealth includes both market portfolio and money account.
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Bibliographic InfoPaper provided by Universidad de Alicante, Departamento de Métodos Cuantitativos y Teoría Económica in its series QM&ET Working Papers with number 12-16.
Length: 23 pages
Date of creation: 28 Nov 2012
Date of revision:
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Decreasing relative risk aversion; portfolio choice; executive compensation;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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CRSP working papers
430, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
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Review of Financial Studies,
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- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
- Tian, Yisong S., 2004. "Too much of a good incentive? The case of executive stock options," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1225-1245, June.
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