Bichuch, Maxim; Sturm, Stephan - In: Finance and Stochastics 18 (2014) 4, pp. 873-915
<Para ID="Par1">We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function g of the terminal wealth. The manager’s own utility function U is assumed to be smooth and strictly concave;...</para>