Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Nengjiu Ju"'
Publikováno v:
Management Science.
We develop a dynamic model where a principal contracts with an agent to operate a firm. The agent, protected by limited liability, trades privately a market portfolio to hedge market risk in his compensation. When liquidation cost of the firm is prop
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ccc991b22efd5a36ab099e18836a1742
https://doi.org/10.1287/mnsc.2022.4533
https://doi.org/10.1287/mnsc.2022.4533
Autor:
Nengjiu Ju1 nengjiu@ust.hk, Parrino, Robert2 parrino@mail.utexas.edu, Poteshman, Allen M.3 poteshma@uiuc.edu, Weisbach, Michael S.3,4 weisbach@uiuc.edu
Publikováno v:
Journal of Financial & Quantitative Analysis. Jun2005, Vol. 40 Issue 2, p259-281. 23p. 5 Charts, 1 Graph.
Publikováno v:
Journal of Money, Credit & Banking (Ohio State University Press). Mar2006, Vol. 38 Issue 2, p375-398. 24p.
Publikováno v:
Journal of Corporate Finance. 29:628-643
While stock options are commonly used in managerial compensation to provide desirable incentives, they can create adverse incentives to distort the choice of investment risk. Relative to the risk level that maximizes firm value, call options in a com
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d2ea08d2595ba5de1bc122081dd712c5
https://doi.org/10.1016/j.jcorpfin.2013.11.003
https://doi.org/10.1016/j.jcorpfin.2013.11.003
Publikováno v:
SSRN Electronic Journal.
We develop a dynamic model where a CARA principal contracts with a CARA agent to operate a firm. The agent, protected by limited liability, trades privately a market portfolio to hedge market risk in his compensation. When the liquidation cost of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9bf4cb3d3e8f80dafcb997aeeb36eb69
https://doi.org/10.2139/ssrn.3079655
https://doi.org/10.2139/ssrn.3079655
Autor:
Nengjiu Ju1, Hui Ou-Yang2 huiou@duke.edu
Publikováno v:
Journal of Business. Sep2006, Vol. 79 Issue 5, p2469-2502. 34p.
Autor:
Bakshi, Gurdip1, Nengjiu Ju2 nengjiu@ust.hk
Publikováno v:
Journal of Business. Sep2005, Vol. 78 Issue 5, p2037-2052. 16p.
Publikováno v:
Journal of Business. Oct2001, Vol. 74 Issue 4, p483-512. 30p. 1 Diagram.
Autor:
Nengjiu Ju, Xuhu Wan
Publikováno v:
Management Science. 58:641-657
This paper studies the optimal contract between risk-neutral shareholders and a constant relative risk-aversion manager in a continuous-time model. Several interesting results are obtained. First, the optimal compensation is increasing but concave in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33dc26a170c6ea31240abb1dd73064c3
Autor:
Nengjiu Ju, Rui Zhong
Publikováno v:
Review of Derivatives Research. 9:187-212
In this article we propose a method to compute the density of the arithmetic average of a Markov process. This approach is then applied to the pricing of average rate options (Asian options). It is demonstrated that as long as a closed form formula i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::00ef833cdc92a7d2f45d9575d9b60015
https://doi.org/10.1007/s11147-007-9013-7
https://doi.org/10.1007/s11147-007-9013-7