Hedge and mutual funds' fees and the separation of private investments

DOI10.1007/S00780-015-0266-YzbMath1336.91065arXiv1208.4799OpenAlexW3121600949MaRDI QIDQ2516773

Paolo Guasoni, Gu Wang

Publication date: 4 August 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.4799

zbMATH Keywords

expected utilitymaximizationhedge fundfund managerconstant-proportion portfoliofund's assethigh-water mark provisionperformance and management feesprivate wealth

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Performance Fees with Stochastic Benchmark ⋮ Optimal fee structure of variable annuities ⋮ Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model ⋮ Lifetime ruin under high-water mark fees and drift uncertainty

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• Optimal Investment with High-watermark Performance Fee
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods

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