Imperial College London
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ProfessorJohannesMuhle-Karbe

Faculty of Natural Sciences, Department of Mathematics

Head of Mathematical Finance, Chair in Mathematical Finance
 
 
 
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Contact

 

+44 (0)20 7594 0802j.muhle-karbe Website CV

 
 
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Assistant

 

Mrs Rula Murtada +44 (0)20 7594 8487

 
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Location

 

806Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Guasoni:2017:10.1111/mafi.12087,
author = {Guasoni, P and MuhleKarbe, J and Xing, H},
doi = {10.1111/mafi.12087},
journal = {Mathematical Finance},
pages = {3--37},
title = {ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONGRUN INVESTMENTS},
url = {http://dx.doi.org/10.1111/mafi.12087},
volume = {27},
year = {2017}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - <jats:p>When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general arbitragefree, frictionless, semimartingale model. As a consequence, optimal portfolios are robust to the perturbations in preferences induced by common option compensation schemes, and such incentives are weaker when their horizon is longer. Robust option incentives are possible, but require several, arbitrarily large exercise prices, and are not always convex.</jats:p>
AU  - Guasoni,P
AU  - MuhleKarbe,J
AU  - Xing,H
DO  - 10.1111/mafi.12087
EP  - 37
PY  - 2017///
SN  - 0960-1627
SP  - 3
TI  - ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONGRUN INVESTMENTS
T2  - Mathematical Finance
UR  - http://dx.doi.org/10.1111/mafi.12087
VL  - 27
ER  -
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