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.

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Year of publication:	2012-11-28
Authors:	Carmona, Julio ; León, Ángel ; Vaello-Sebastià, Antoni
Institutions:	Departamento de Métodos Cuantitativos y Teoría Económica, Facultad de Ciencias Económicas y Empresariales
Subject:	Decreasing relative risk aversion \| portfolio choice \| executive compensation

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Extent:	application/pdf
Series:	QM&ET Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series QM&ET Working Papers The price is shipping costs Number 12-16 23 pages
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G35 - Payout Policy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010991665