Abel Cadenillas

Learn More
———————————————————————————————————— Abstract We study the incentive effects of granting levered or unlevered stock to a risk-averse manager. The stock is granted by risk-neutral shareholders who choose leverage and compensation level. The manager applies costly effort and selects the level of volatility, both of which affect expected return. The results(More)
We consider first-best risk-sharing problems in which " the agent " can control both the drift (effort choice) and the volatility of the underlying process (project selection). In a model of delegated portfolio management, it is optimal to compensate the manager with an option-type payoff, where the functional form of the option is obtained as a solution to(More)
Motivated by empirical observations, we assume that the inventory level of a company follows a mean reverting process. The objective of the management is to keep this inventory level as close as possible to a given target; there is a running cost associated with the difference between the actual inventory level and the target. If inventory deviates too much(More)
We assume that consumer demand for an item follows a Brownian motion with a drift that is modulated by a continuous-time Markov chain that represents the regime of the economy. The economy may be in either one of two regimes. The economy remains in one regime for a random amount of time that is exponentially distributed with rate λ1, and then moves to the(More)
Ich widme diese Arbeit meiner Familie. Abstract Traditional literature on financial markets assumes perfectly liquid markets, so that an arbitrary number of shares can be traded at any time, and trading has no impact on market prices. If only limited liquidity is available for trading, these assumptions are not always satisfied. In this thesis we study a(More)