RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING

Emilio Barucci () and Daniele Marazzina ()
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Emilio Barucci: Dipartimento di Matematica — Politecnico di Milano, Via Bonardi 9, I-20133 Milano, Italy
Daniele Marazzina: Dipartimento di Matematica — Politecnico di Milano, Via Bonardi 9, I-20133 Milano, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2015, vol. 18, issue 02, 1-25

Abstract: We investigate asset management in a regime switching framework when the fund manager aims to beat a certain target for the assets under management over an infinite horizon or over a finite horizon. We consider both a full information and a partial information setting. In a full information setting, the asset manager tends to take more risk in the good state and less risk in the bad state with respect to the constant parameter environment. Confidence risk induces the agent to increase his risk exposure.

Keywords: Regime switching; bonus; remuneration; investment (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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DOI: 10.1142/S0219024915500090

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