Performance-sharing optimization by risk-constrained equity investors
نویسندگان
چکیده
An investment project may be capital constrained when its risk exceeds the limit of prospective investors. We propose a new equity-contract in which project’s performance-sharing across investors respects individual investor’s while staying as close possible to his/her percentage contribution equity project. The proposed arrangement thus ensures that with limits take less share performance during high-risk episodes, are more exposed. former pay premium latter compensate for partial transfer. agreement is expected especially useful risk-constrained who restricted their use risk-free investments reduce risk.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2021
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2020.101527