MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS

DOI10.1111/J.1467-9965.2010.00395.XzbMath1230.91170OpenAlexW3125806042MaRDI QIDQ3553254

R. Kaniel, Julien Hugonnier

Publication date: 22 April 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00395.x

zbMATH Keywords

incomplete marketsportfolio managementBSDEsmutual fundscontinuous time stochastic game

Mathematics Subject Classification ID

Applications of game theory (91A80) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (14)

Delegated portfolio management, optimal fee contracts, and asset prices ⋮ Optimal compensation with hidden action and lump-sum payment in a continuous-time model ⋮ Performance Fees with Stochastic Benchmark ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Leverage management ⋮ Inter‐temporal mutual‐fund management ⋮ Portfolio selection of a closed-end mutual fund ⋮ Optimal fund menus ⋮ Fair demographic risk sharing in defined contribution pension systems ⋮ On managerial risk-taking incentives when compensation may be hedged against ⋮ Optimal compensation with adverse selection and dynamic actions ⋮ Delegated dynamic portfolio management under mean-variance preferences ⋮ Mutual fund competition in the presence of dynamic flows ⋮ Optimal investment problem for an open-end fund with dynamic flows

Cites Work

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• Stackelberg differential games in economic models
• Delegated dynamic portfolio management under mean-variance preferences
• Mutual fund competition in the presence of dynamic flows
• Convex duality in constrained portfolio optimization
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Utility maximization in incomplete markets
• Dynamic exponential utility indifference valuation
• Pricing Via Utility Maximization and Entropy
• Backward Stochastic Differential Equations in Finance

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