Author

Haoqi Lyu

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Preprint Aug 2026

Non-concave Corporate Management with Option Incentives under Value-at-Risk Constraint

This article studies a dynamic corporate risk management problem by considering the decision-making of risk-averse managers who exert costly effort and select project risk. We study how a Value-at-Risk (VaR) constraint affects managerial decisions and the distribution of firm value when the manager's objective is non-c...

Wenyuan Li, Haoqi Lyu, Pengyu Wei · 0 citations