2 papers
q-fin.PM2020
Implicit Incentives for Fund Managers with Partial Information
Flavio Angelini, Katia Colaneri, Stefano Herzel +1
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the ma…
q-fin.PM2019
The value of knowing the market price of risk
Katia Colaneri, Stefano Herzel, Marco Nicolosi
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We s…