Executive Stock Options and Time Diversification
We 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.
|Date of creation:||28 Nov 2012|
|Contact details of provider:|| Postal: +34 965 90 36 70|
Phone: +34 965 90 36 70
Fax: +34 965 90 97 89
Web page: http://web.ua.es/es/dmcte
More information through EDIRC
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.:
- 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.
- 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 637-654, May-June.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ris:qmetal:2012_016. See general information about how to correct material in RePEc.
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.