Executive compensation packages are often valued in an inconsistent manner: while employee stock options (ESOs) are typically valued ex‐ante, i.e., before uncertain ties are resolved, cash bonuses are valued ex‐post, i.e., by discounting the realized cash grants. Such a lack of consistency...

We generalize Markowitz analysis to the situations involving an uncertain exit time. Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return. However, inputs are now given by the generalized expressions for...

In the presence of nonnormally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution. This is a formidable challenge that severely exacerbates...