Investment under risk tolerance constraints and non-concave utility functions: implicit risks, incentives and optimal strategies
The objective of this thesis is to contribute in the understanding of both the induced behavior and the underlying risks of a decision maker who is rewarded through option-like compensation schemes or who is subject to risk tolerance constraints. In the first part of the thesis we consider a risk...
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| Language: | English |
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University of British Columbia
2011
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| Online Access: | http://hdl.handle.net/2429/31468 |