Does Option Compensation Increase Managerial Risk Appetite?
研究风险厌恶的管理者在获得资产看涨期权作为薪酬时的动态投资决策，发现期权薪酬并不必然导致更高的风险寻求，有时反而会降低波动率。
This paper solves the dynamic investment problem of a risk averse manager compensated with a call option on the assets he controls. Under the manager's optimal policy, the option ends up either deep in or deep out of the money. As the asset value goes to zero, volatility goes to infinity. However, the option compensation does not strictly lead to greater risk seeking. Sometimes, the manager's optimal volatility is less with the option than it would be if he were trading his own account. Furthermore, giving the manager more options causes him to reduce volatility.