Performance Fees with Stochastic Benchmark

DOI10.1137/21M1401826zbMath1491.91124OpenAlexW4280572485WikidataQ114074088 ScholiaQ114074088MaRDI QIDQ5080134

Gu Wang

Publication date: 31 May 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1401826

zbMATH Keywords

portfolio choicehedge fundsstochastic benchmarkperformance feeshigh-water marks

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Watermark options
• The Russian option: Reduced regret
• Asset pricing under optimal contracts
• Hedge and mutual funds' fees and the separation of private investments
• Discounted optimal stopping problems for the maximum process
• THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS
• Optimal Investment with High-watermark Performance Fee
• MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon
• Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model
• OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
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