{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,13]],"date-time":"2026-05-13T03:04:36Z","timestamp":1778641476276,"version":"3.51.4"},"reference-count":30,"publisher":"Springer Science and Business Media LLC","issue":"4","license":[{"start":{"date-parts":[[2014,6,26]],"date-time":"2014-06-26T00:00:00Z","timestamp":1403740800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2014,10]]},"DOI":"10.1007\/s00780-014-0236-9","type":"journal-article","created":{"date-parts":[[2014,6,25]],"date-time":"2014-06-25T13:08:06Z","timestamp":1403701686000},"page":"873-915","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":30,"title":["Portfolio optimization under convex incentive schemes"],"prefix":"10.1007","volume":"18","author":[{"given":"Maxim","family":"Bichuch","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Stephan","family":"Sturm","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2014,6,26]]},"reference":[{"key":"236_CR1","doi-asserted-by":"crossref","first-page":"144","DOI":"10.1239\/aap\/1208358890","volume":"40","author":"E. Al\u00f2s","year":"2008","unstructured":"Al\u00f2s, E., Ewald, C.-O.: Malliavin differentiability of the Heston volatility and applications to option pricing. Adv. Appl. Probab. 40, 144\u2013162 (2008)","journal-title":"Adv. Appl. Probab."},{"key":"236_CR2","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1016\/S0304-4149(00)00015-6","volume":"89","author":"J. Amendinger","year":"2000","unstructured":"Amendinger, J.: Martingale representation theorems for initially enlarged filtrations. Stoch. Process. Appl. 89, 101\u2013116 (2000)","journal-title":"Stoch. Process. Appl."},{"key":"236_CR3","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-540-34514-5","volume-title":"Measure Theory. Vol. I and II","author":"V.I. Bogachev","year":"2007","unstructured":"Bogachev, V.I.: Measure Theory. Vol. I and II. Springer, Berlin (2007)"},{"key":"236_CR4","doi-asserted-by":"crossref","first-page":"678","DOI":"10.1214\/105051604000000062","volume":"14","author":"B. Bouchard","year":"2004","unstructured":"Bouchard, B., Touzi, N., Zeghal, A.: Dual formulation of the utility maximization problem: the case of nonsmooth utility. Ann. Appl. Probab. 14, 678\u2013717 (2004)","journal-title":"Ann. Appl. Probab."},{"key":"236_CR5","series-title":"Lecture Notes in Math.","doi-asserted-by":"crossref","first-page":"349","DOI":"10.1007\/BFb0096525","volume-title":"S\u00e9minaire de Probabilit\u00e9s, XXXIII","author":"W. Brannath","year":"1999","unstructured":"Brannath, W., Schachermayer, W.: A bipolar theorem for . In: Az\u00e9ma, J., \u00c9mery, M., Ledoux, M., Yor, M. (eds.) S\u00e9minaire de Probabilit\u00e9s, XXXIII. Lecture Notes in Math., vol.\u00a01709, pp.\u00a0349\u2013354. Springer, Berlin (1999)"},{"key":"236_CR6","series-title":"Springer Finance","volume-title":"Interest Rate Models\u2014Theory and Practice","author":"D. Brigo","year":"2006","unstructured":"Brigo, D., Mercurio, F.: Interest Rate Models\u2014Theory and Practice, 2nd edn. Springer Finance. Springer, Berlin (2006)","edition":"2"},{"key":"236_CR7","first-page":"81","volume":"1620","author":"L. Carassus","year":"2009","unstructured":"Carassus, L., Pham, H.: Portfolio optimization for piecewise concave criteria functions (the 8th workshop on stochastic numerics). RIMS Kokyuroku 1620, 81\u2013108 (2009). Preprint. https:\/\/sites.google.com\/site\/lcarassus\/recherches\/publications . Ed.: Shigeyoshi Ogawa","journal-title":"RIMS Kokyuroku"},{"key":"236_CR8","doi-asserted-by":"crossref","first-page":"2311","DOI":"10.1111\/0022-1082.00288","volume":"55","author":"J.N. Carpenter","year":"2000","unstructured":"Carpenter, J.N.: Does option compensation increase managerial risk appetite? J. Finance 55, 2311\u20132331 (2000)","journal-title":"J. Finance"},{"key":"236_CR9","doi-asserted-by":"crossref","first-page":"1353","DOI":"10.1214\/aoap\/1015345406","volume":"11","author":"G. Deelstra","year":"2001","unstructured":"Deelstra, G., Pham, H., Touzi, N.: Dual formulation of the utility maximization problem under transaction costs. Ann. Appl. Probab. 11, 1353\u20131383 (2001)","journal-title":"Ann. Appl. Probab."},{"key":"236_CR10","series-title":"Springer Finance","volume-title":"The Mathematics of Arbitrage","author":"F. Delbaen","year":"2006","unstructured":"Delbaen, F., Schachermayer, W.: The Mathematics of Arbitrage. Springer Finance. Springer, Berlin (2006)"},{"key":"236_CR11","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9781139020534","volume-title":"Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives","author":"J.P. Fouque","year":"2011","unstructured":"Fouque, J.P., Papanicolaou, G., Sircar, R., S\u00f8lna, K.: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives. Cambridge University Press, Cambridge (2011)"},{"key":"236_CR12","doi-asserted-by":"crossref","unstructured":"Guasoni, P., Ob\u0142\u00f3j, J.K.: The incentives of hedge fund fees and high-water marks. Math. Finance (2014). doi: 10.1111\/mafi.12057","DOI":"10.1111\/mafi.12057"},{"key":"236_CR13","series-title":"Grundlehren Text Editions.","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-642-56468-0","volume-title":"Fundamentals of Convex Analysis","author":"J.-B. Hiriart-Urruty","year":"2001","unstructured":"Hiriart-Urruty, J.-B., Lemar\u00e9chal, C.: Fundamentals of Convex Analysis. Grundlehren Text Editions. Springer, Berlin (2001)"},{"key":"236_CR14","doi-asserted-by":"crossref","first-page":"790","DOI":"10.1137\/100790884","volume":"50","author":"K. Jane\u010dek","year":"2012","unstructured":"Jane\u010dek, K., S\u00eerbu, M.: Optimal investment with high-watermark performance fee. SIAM J. Control Optim. 50, 790\u2013819 (2012)","journal-title":"SIAM J. Control Optim."},{"key":"236_CR15","doi-asserted-by":"crossref","first-page":"1557","DOI":"10.1137\/0325086","volume":"25","author":"I. Karatzas","year":"1987","unstructured":"Karatzas, I., Lehoczky, J.P., Shreve, S.E.: Optimal portfolio and consumption decisions for a \u2019small investor\u2019 on a finite horizon. SIAM J. Control Optim. 25, 1557\u20131586 (1987)","journal-title":"SIAM J. Control Optim."},{"key":"236_CR16","doi-asserted-by":"crossref","first-page":"904","DOI":"10.1214\/aoap\/1029962818","volume":"9","author":"D. Kramkov","year":"1999","unstructured":"Kramkov, D., Schachermayer, W.: The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Ann. Appl. Probab. 9, 904\u2013950 (1999)","journal-title":"Ann. Appl. Probab."},{"key":"236_CR17","doi-asserted-by":"crossref","first-page":"1504","DOI":"10.1214\/aoap\/1069786508","volume":"13","author":"D. Kramkov","year":"2003","unstructured":"Kramkov, D., Schachermayer, W.: Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Ann. Appl. Probab. 13, 1504\u20131516 (2003)","journal-title":"Ann. Appl. Probab."},{"key":"236_CR18","doi-asserted-by":"crossref","first-page":"503","DOI":"10.1080\/14697680500305204","volume":"5","author":"K. Larsen","year":"2005","unstructured":"Larsen, K.: Optimal portfolio delegation when parties have different coefficients of risk aversion. Quant. Finance 5, 503\u2013512 (2005)","journal-title":"Quant. Finance"},{"key":"236_CR19","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0022-0531(71)90038-X","volume":"3","author":"R.C. Merton","year":"1971","unstructured":"Merton, R.C.: Optimum consumption and portfolio rules in a continuous-time model. J. Econ. Theory 3, 373\u2013413 (1971)","journal-title":"J. Econ. Theory"},{"key":"236_CR20","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4757-2437-0","volume-title":"The Malliavin Calculus and Related Topics. Probability and Its Applications","author":"D. Nualart","year":"1995","unstructured":"Nualart, D.: The Malliavin Calculus and Related Topics. Probability and Its Applications. Springer, New York (1995)"},{"key":"236_CR21","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1080\/17442509108833682","volume":"34","author":"D.L. Ocone","year":"1991","unstructured":"Ocone, D.L., Karatzas, I.: A generalized Clark representation formula, with application to optimal portfolios. Stoch. Stoch. Rep. 34, 187\u2013220 (1991)","journal-title":"Stoch. Stoch. Rep."},{"key":"236_CR22","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.1540-6261.2008.01427.x","volume":"64","author":"S. Panageas","year":"2009","unstructured":"Panageas, S., Westerfield, M.M.: High-water marks: High risk appetites? Convex compensation, long horizons, and portfolio choice. J. Finance 64, 1\u201336 (2009)","journal-title":"J. Finance"},{"key":"236_CR23","doi-asserted-by":"crossref","first-page":"370","DOI":"10.1287\/moor.11.2.371","volume":"11","author":"S.R. Pliska","year":"1986","unstructured":"Pliska, S.R.: A stochastic calculus model of continuous trading: optimal portfolios. Math. Oper. Res. 11, 370\u2013382 (1986)","journal-title":"Math. Oper. Res."},{"key":"236_CR24","doi-asserted-by":"crossref","first-page":"531","DOI":"10.1007\/s11579-013-0093-x","volume":"7","author":"C. Reichlin","year":"2013","unstructured":"Reichlin, C.: Utility maximization with a given pricing measure when the utility is not necessarily concave. Math. Financ. Econ. 7, 531\u2013556 (2013)","journal-title":"Math. Financ. Econ."},{"key":"236_CR25","doi-asserted-by":"crossref","first-page":"207","DOI":"10.1111\/j.1540-6261.2004.00631.x","volume":"59","author":"S.A. Ross","year":"2004","unstructured":"Ross, S.A.: Compensation, incentives, and the duality of risk aversion and riskiness. J. Finance 59, 207\u2013225 (2004)","journal-title":"J. Finance"},{"key":"236_CR26","doi-asserted-by":"crossref","first-page":"181","DOI":"10.1007\/s00186-009-0291-8","volume":"71","author":"F.T. Seifried","year":"2010","unstructured":"Seifried, F.T.: Optimal investment with deferred capital gains taxes: a simple martingale method approach. Math. Methods Oper. Res. 71, 181\u2013199 (2010)","journal-title":"Math. Methods Oper. Res."},{"key":"236_CR27","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1155\/2011\/843246","volume":"2011","author":"T.K. Siu","year":"2011","unstructured":"Siu, T.K.: Regime-switching risk: to price or not to price? Int. J. Stoch. Anal. 2011, 1\u201314 (2011)","journal-title":"Int. J. Stoch. Anal."},{"key":"236_CR28","doi-asserted-by":"crossref","first-page":"1561","DOI":"10.1016\/j.spa.2008.08.002","volume":"119","author":"N. Westray","year":"2009","unstructured":"Westray, N., Zheng, H.: Constrained nonsmooth utility maximization without quadratic inf convolution. Stoch. Process. Appl. 119, 1561\u20131579 (2009)","journal-title":"Stoch. Process. Appl."},{"key":"236_CR29","doi-asserted-by":"crossref","first-page":"501","DOI":"10.1007\/s00780-010-0128-6","volume":"15","author":"N. Westray","year":"2011","unstructured":"Westray, N., Zheng, H.: Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization. Finance Stoch. 15, 501\u2013512 (2011)","journal-title":"Finance Stoch."},{"key":"236_CR30","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1155\/JAMSA\/2006\/18130","volume":"2006","author":"B. Wong","year":"2006","unstructured":"Wong, B., Heyde, C.C.: On changes of measure in stochastic volatility models. J. Appl. Math. Stoch. Anal. 2006, 1\u20133 (2006)","journal-title":"J. Appl. Math. Stoch. Anal."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-014-0236-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-014-0236-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-014-0236-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,11]],"date-time":"2019-08-11T22:29:31Z","timestamp":1565562571000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-014-0236-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,6,26]]},"references-count":30,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2014,10]]}},"alternative-id":["236"],"URL":"https:\/\/doi.org\/10.1007\/s00780-014-0236-9","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,6,26]]}}}