Estimating fees for managed futures: a continuous-time model with a knockout feature

DOI10.1080/13504860010011163MaRDI QIDQ4541592zbMATH OpenOpenAlexFDO

Authors Francisca G.-C. Richter, B. Wade Brorsen

Publication date 5 September 2002

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

Full work available at URL https://doi.org/10.1080/13504860010011163

zbMATH Keywords

hedge fundshigh-water marksincentive feemanaged futuresruin

Mathematics Subject Classification ID

Recommendations

• The incentives of hedge fund fees and high-water marks
• Asset management, high water mark and flow of funds
• Manager fee contracts and managerial incentives
• A continuous-time version of a delegated asset management problem
• Optimal investment with high-watermark performance fee

Cites work

• Additional abscissas and weights for Gaussian quadratures of high order: Values for n=64, 80, and 96
• scientific article; zbMATH DE number 194933 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)

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