It is often argued that Black-Scholes (1973) values overstate the subjective value of stock options granted to risk-averse and under-diversified executives. We construct a "representative" Swiss executive and extend the certainty-equivalence approach presented by Hall and Murphy (2002) to assess...

We present a regression-based generalization of the calendar time portfolio approach which allows for decomposing the risk-adjusted performance of private investors (or firms or mutual funds) into multivariate and continuous subject characteristics. Our technique remedies several well-known...