. With these portfolio constraints we show that benchmarking the manager´s incentive fee affect her timing ability and hence …

the gradient. Key words : Super-replication, barrier options, portfolio constraints, viscosity solu- tions. MSC … 649 “Economic Risk” 1 1 Introduction The problem of super-hedging under portfolio constraints has attracted a lot of … condition concerns the convex set K describing the portfolio constraints. It is stated in terms of ˜K(x,O), recall (3.4). H …

Mean-variance Efficiency, Portfolio Constraints, Asset Pricing, Portfolio Analysis Availability The ERIM Report Series is … of a given portfolio, which can also account for general 2 portfolio constraints. The advantage of the stochastic …

This paper shows that portfolio constraints have important implications for management compensation and performance … evaluation. In particular, in the presence of portfolio constraints, allowing for benchmarking can be beneficial. Benchmark … design arises as an alternative effort inducement mechanism vis-a-vis relaxing portfolio constraints. Numerically, we solve …

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if … illustrated by two explicitly solved examples where seemingly innocuous portfolio constraints make bubbles a necessary condition …