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

DOI10.1016/j.ejor.2019.12.037zbMath1441.91094OpenAlexW2998134534WikidataQ126427092 ScholiaQ126427092MaRDI QIDQ2178105

Bo Liu, Jinqiang Yang, Zhentao Zou, Jiangyuan Li

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

zbMATH Keywords

financeleveragetime-inconsistent preferenceshedge fundmanagement fees and incentive fees

Mathematics Subject Classification ID

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

Related Items (4)

Hedge funds trading strategies and leverage ⋮ Incomplete markets, Knightian uncertainty and high-water marks ⋮ Time-consistent portfolio optimization ⋮ Present-biased government and sovereign debt dynamics

Cites Work

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