MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
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Publication:3553254
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- scientific article; zbMATH DE number 1487901
Cites work
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward Stochastic Differential Equations in Finance
- Convex duality in constrained portfolio optimization
- Delegated dynamic portfolio management under mean-variance preferences
- Dynamic exponential utility indifference valuation
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- scientific article; zbMATH DE number 635670 (Why is no real title available?)
- Mutual fund competition in the presence of dynamic flows
- Pricing via utility maximization and entropy.
- Stackelberg differential games in economic models
- Utility maximization in incomplete markets
Cited in
(28)- A theory of optimal timing and selectivity
- Itchy feet vs cool heads: flow of funds in an agent-based financial market
- Information and investment under uncertainty
- Rating changes and portfolio flows to emerging markets: evidence from active and passive funds
- Asset management, high water mark and flow of funds
- Leverage management
- Portfolio selection of a closed-end mutual fund
- Optimal compensation with hidden action and lump-sum payment in a continuous-time model
- An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio
- Optimal compensation with adverse selection and dynamic actions
- Estimating the intensity of choice in a dynamic mutual fund allocation decision
- Prospect theory and mutual fund flows
- Delegated portfolio management, optimal fee contracts, and asset prices
- Dynamic programming models and algorithms for the mutual fund cash balance problem
- Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of S&P 500 Index Funds
- Fair demographic risk sharing in defined contribution pension systems
- Portfolio pumping, trading activity and fund performance
- Perverse timing or biased coefficients?
- On managerial risk-taking incentives when compensation may be hedged against
- Optimal investment problem for an open-end fund with dynamic flows
- Performance fees with stochastic benchmark
- A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
- Investor redemptions and fund manager sales of emerging market bonds: how are they related?
- Fund flows, manager changes, and performance persistence
- Inter‐temporal mutual‐fund management
- Optimal fund menus
- Delegated dynamic portfolio management under mean-variance preferences
- Mutual fund competition in the presence of dynamic flows
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