Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function
Published Online:12 Mar 2015https://doi.org/10.1287/moor.2014.0702
References
- (1965) A variational problem arising in economics. J. Math. Anal. Appl. 11:488–503.Crossref, Google Scholar
- (1980) The marginal utility of income does not increase: Borrowing, lending, and Friedman-Savage gamble. Amer. Econom. Rev. 70:372–379.Google Scholar
- (2001) Prospect theory and asset prices. Quart. J. Econom. 116:1–53.Crossref, Google Scholar
- (2014) Strategic asset allocation in money management. J. Finance 69(1):179–217.Crossref, Google Scholar
- (2007) Optimal asset allocation and risk shifting in money management. Rev. Financial Stud. 20: 1583–1621.Crossref, Google Scholar
- (1995) Myopic loss aversion and the equity premium puzzle. Quart. J. Econom. 110:73–92.Crossref, Google Scholar
- (2013) Entrepreneur’s decisions and bank credit. Working paper, University of Texas at Dallas, Dallas.Google Scholar
- (2004) Optimal portfolio choice under loss aversion. Rev. Econom. Statist. 86(4):973–987.Crossref, Google Scholar
- (2010) Static portfolio choice under cumulative prospect theory. Math. Financial Econom. 2:277–306.Crossref, Google Scholar
- (2014) Portfolio optimization under convex incentive schemes. Finance Stochastics 18(4):873–915.Crossref, Google Scholar
- (2013) Executive stock options as a screening mechanism. Working paper, University of Alberta, Edmonton, Canada.Google Scholar
- (2004) Leverage decision and manager compensation with choice of effort and volatility. J. Financial Econom. 73(1):71–92.Crossref, Google Scholar
- (2007) Stochastic control methods for the problem of optimal compensation of executives. Baxendale P, Lototsky S, eds. Stochastic Differential Equations: Theory and Practice. A Volume in Honor of Professor B.L. Rozovskii (World Scientific Publishing, Singapore).Crossref, Google Scholar
- (2007) Optimal risk-sharing with effort and project choice. J. Econom. Theory 133:403–440.Crossref, Google Scholar
- (2009) Portfolio optimization for piecewise concave criteria. Ogawa S, ed. The 8th Workshop on Stochastic Numerics, Vol. 1620, RIMS Kokyuroku Series (Research Institute for Mathematical Sciences, Kyoto, Japan), 81–108.Google Scholar
- (2013) On optimal investment for a behavioural investor in multiperiod incomplete market models. Math. Finance 25(1):115–153.Crossref, Google Scholar
- (2011) Optimal demand for contingent claims when agents have law invariant utilities. Math. Finance 21:169–201.Google Scholar
- (2000) Does option compensation increase managerial risk appetite? J. Finance 55:2311–2331.Crossref, Google Scholar
- (1989) Optimal consumption and portfolio policies when asset prices follow a diffusion process. J. Econom. Theory 49:33–83.Crossref, Google Scholar
- (1988) Nonnegative wealth, absence of arbitrage, and feasible consumption plans. Rev. Financial Stud. 1:377–401.Crossref, Google Scholar
- (2006) Stochastic Differential Equations and Applications (Dover, Mineola, NY).Google Scholar
- (1948) The utility analysis of choices involving risk. J. Political Econom. 56:279–304.Crossref, Google Scholar
- (2005) Portfolio choice and trading volume with loss-averse investors. J. Bus. 78:675–706.Crossref, Google Scholar
- (2002) Can expected utility theory explain gambling? Amer. Econom. Rev. 92:613–624.Crossref, Google Scholar
- (2010) Portfolio choice under cumulative prospect theory: An analytical treatment. Management Sci. 57(2):315–331.Link, Google Scholar
- (2011) Portfolio choice via quantiles. Math. Finance 21:203–231.Crossref, Google Scholar
- (2001) Fundamentals of Convex Analysis. Grundlehren Text Editions (Springer, Berlin).Crossref, Google Scholar
- (2008) Behavioral portfolio selection in continuous time. Math. Finance 18:385–426.Crossref, Google Scholar
- (1979) Prospect theory: An analysis of decision under risk. Econometrica 47:263–291.Crossref, Google Scholar
- (1987) Optimal portfolio and consumption decisions for a small investor on a finite horizon. SIAM J. Control Optim. 25:1557–1586.Crossref, Google Scholar
- (1991) Brownian Motion and Stochastic Calculus, 2nd ed. (Springer, New York).Google Scholar
- (1991) Methods Math. Finance (Springer, New York).Google Scholar
- (2012) A Friedman-Savage consumer almost gambles: A continuous time model of consumption and investment with nonconcave utility. Working paper, Xiamen University, Xiamen, China.Google Scholar
- (2005) Optimal portfolio delegation when parties have different coefficients of risk aversion. Quant. Finance 5:503–512.Crossref, Google Scholar
- (1971) Optimum consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3:373–414.Crossref, Google Scholar
- (2013) Utility maximization with a given pricing measure when utility is not necessarily concave. Math. Financial Econom. 7:531–556.Crossref, Google Scholar
- (2012) Optimal financial investments for nonconcave utility functions. Econom. Lett. 114:239–240.Crossref, Google Scholar
- (1970) Convex Analysis (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
- (2000) Multidimensional Diffusion Processes (Springer, Berlin).Google Scholar
- (1992) Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertainty 5:297–323.Crossref, Google Scholar

