Executive Stock Options and Time Diversification

Julio Carmona, Ángel León () and Antoni Vaello-Sebastià
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Ángel León: Universidad de Alicante, Departamento de Métodos Cuantitativos y Teoría Económica, Postal: Apartado de correos 99, Ctra. San Vicente s/n, 03080 Alicante, Spain

No 12-16, QM&ET Working Papers from University of Alicante, D. Quantitative Methods and Economic Theory

Abstract: 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.

Keywords: Decreasing relative risk aversion; portfolio choice; executive compensation (search for similar items in EconPapers)
JEL-codes: G10 G11 G35 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2012-11-28
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Persistent link: https://EconPapers.repec.org/RePEc:ris:qmetal:2012_016

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