CodiceQDD 166
TitoloRisk seeking, non convex remuneration and regime switching
Autore/iBarucci, E.; Marazzina, D.
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AbstractWe investigate asset management in a regime switching framework when the fund manager aims to beat a certain target for the assets under management either in an infinite horizon or over a finite horizon. We consider both a full information and a partial information setting. In a full information setting, the asset manager tends to take more risk in the good state and less risk in the bad state with respect to the constant parameter environment. Confidence risk induces the agent to increase his risk exposure.