Analysis of an optimal stopping problem arising from hedge fund investing
DOI10.1016/J.JMAA.2019.123559zbMATH Open1427.91270OpenAlexW2977417801WikidataQ127178429 ScholiaQ127178429MaRDI QIDQ2009296FDOQ2009296
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
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (4)
- OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION
- 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
- Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures
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