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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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:
Contact details of provider:
Postal: Campus San Vicente del Raspeig, Apdo. Correos 99 E-03080 Alicante
Phone: +34 965 90 36 70
Fax: +34 965 90 97 89
Web page: http://dmcte.ua.es/
More information through EDIRC
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.:
- 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.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- John H. Cochrane & Jesús Saá-Requejo, 1998.
"Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets,"
CRSP working papers
430, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane & Jesus Saa-Requejo, 2000. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 79-119, February.
- John H. Cochrane & Jesus Saa-Requejo, 1996. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," NBER Working Papers 5489, National Bureau of Economic Research, Inc.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, 02.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Julio Carmona).
If references are entirely missing, you can add them using this form.