Analysis of an optimal stopping problem arising from hedge fund investing

DOI10.1016/J.JMAA.2019.123559MaRDI QIDQ2009296zbMATHOpenAlexWikidataFDO

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 problemsoptimal stoppingvariational inequalitiesStefan problemmathematical finance

Mathematics Subject Classification ID

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

Recommendations

• Investing and stopping
• Optimal investment with high-watermark performance fee
• OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION
• The optimal stopping problem revisited
• Optimal stopping time of a portfolio selection problem with multi-assets

Cites work

• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 3562121 (Why is no real title available?)
• scientific article; zbMATH DE number 739283 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• A variational inequality arising from American installment call options pricing
• American continuous-installment options: valuation and premium decomposition
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• Continuous-time stochastic control and optimization with financial applications
• Convexity of the free boundary in the Stefan problem and in the dam problem
• Convexity of the optimal stopping boundary for the American put option
• Free boundary problems of Stephan type with prescribed flux
• Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
• On optimal stopping and free boundary problems
• On the total variation of solutions of parabolic equations
• Optimal stochastic control, stochastic target problems, and backward SDE.
• PROFIT SHARING IN HEDGE FUNDS
• Pricing shared-loss hedge fund fee structures
• The Wiener Sequential Testing Problem with Finite Horizon
• The incentives of hedge fund fees and high-water marks
• User’s guide to viscosity solutions of second order partial differential equations
• Valuation of American continuous-installment options

Cited in

(5)

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

This page was built for publication: Analysis of an optimal stopping problem arising from hedge fund investing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2009296)