Hedge fund's dynamic leverage decisions under time-inconsistent preferences

DOI10.1016/J.EJOR.2019.12.037zbMATH Open1441.91094OpenAlexW2998134534WikidataQ126427092 ScholiaQ126427092MaRDI QIDQ2178105FDOQ2178105

Authors: Jiangyuan Li, Bo Liu, Jinqiang Yang, Zhentao Zou 

Publication date: 7 May 2020

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.12.037

Recommendations

• Leverage management
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• Optimal capital structure and investment decisions under time-inconsistent preferences

zbMATH Keywords

financeleveragetime-inconsistent preferenceshedge fundmanagement fees and incentive fees

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99) Optimal stochastic control (93E20)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal dividend strategies with time-inconsistent preferences
• Golden Eggs and Hyperbolic Discounting
• Instantaneous Gratification *
• Consumption and portfolio rules for time-inconsistent investors
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
• Time-inconsistent multistage stochastic programs: martingale bounds
• An investigation of time inconsistency
• Optimal capital structure and investment decisions under time-inconsistent preferences
• Discounted utility and present value -- a close relation
• Optimal investment strategy under time-inconsistent preferences and high-water mark contract
• Understanding time-inconsistent heterogeneous preferences in economics and finance: a practice theory approach
• An anticipative hyperbolic discount utility on intertemporal decision making

Cited In (5)

• Present-biased government and sovereign debt dynamics
• Time-consistent portfolio optimization
• Incomplete markets, Knightian uncertainty and high-water marks
• Hedge funds trading strategies and leverage
• Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures

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