Analysis of an optimal stopping problem arising from hedge fund investing

DOI10.1016/J.JMAA.2019.123559MaRDI QIDQ2009296zbMATH OpenOpenAlexWikidataFDO

Authors Xinfu Chen, David Saunders, John Chadam

Publication date 28 November 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2019.123559

zbMATH Keywords

free boundary problemsmathematical financeoptimal stoppingStefan problemvariational inequalities

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• The incentives of hedge fund fees and high-water marks
• The Wiener Sequential Testing Problem with Finite Horizon
• User’s guide to viscosity solutions of second order partial differential equations
• Valuation of American continuous-installment options

Cited in

(5)

• A mathematical analysis of an exchange-traded horse race betting fund with deterministic payoff betting strategy for institutional investment to challenge EMH
• OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION
• Optimal stopping problems for asset management
• Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures
• Investing and stopping

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