Optimal Investment with High-watermark Performance Fee

DOI10.1137/100790884zbMath1248.91092OpenAlexW1969088168WikidataQ110634003 ScholiaQ110634003MaRDI QIDQ2903504

Mihai Sirbu, Karel Janeček

Publication date: 10 August 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100790884

zbMATH Keywords

dynamic programmingstochastic optimal controloptimal investment

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Ordinary differential equations and systems with randomness (34F05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (15)

Performance Fees with Stochastic Benchmark ⋮ Optimal investment and consumption for an insurer with high-watermark performance fee ⋮ Optimal entry and consumption under habit formation ⋮ Epstein‐Zin utility maximization on a random horizon ⋮ Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Consumption, investment and healthcare with aging ⋮ Portfolio optimization under convex incentive schemes ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS ⋮ Hedge and mutual funds' fees and the separation of private investments ⋮ Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions ⋮ Asset management with endogenous withdrawals under a drawdown constraint ⋮ Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax

This page was built for publication: Optimal Investment with High-watermark Performance Fee