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

DOI10.1016/J.EJOR.2019.12.037MaRDI QIDQ2178105zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

financeleveragetime-inconsistent preferenceshedge fundmanagement fees and incentive fees

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(5)

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

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