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We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function g of the terminal wealth. The manager's own utility function U is assumed to be smooth and strictly concave, however the resulting utility function U • g fails to be concave. As a… (More)

We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counterexample to a widespread conjecture is given.

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