Performance fees with stochastic benchmark
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Publication:5080134
DOI10.1137/21M1401826zbMATH Open1491.91124OpenAlexW4280572485WikidataQ114074088 ScholiaQ114074088MaRDI QIDQ5080134FDOQ5080134
Authors: 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
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- Optimal investment under relative performance concerns
- The incentives of hedge fund fees and high-water marks
- Watermark options
- Optimal investment with high-watermark performance fee
- Asset pricing under optimal contracts
- Hedge and mutual funds' fees and the separation of private investments
- Optimal investment with high-watermark fee in a multidimensional jump diffusion model
Cited In (6)
- Hedge and mutual funds' fees and the separation of private investments
- The incentives of hedge fund fees and high-water marks
- Gaming Performance Fees By Portfolio Managers
- Optimal benchmarking for active portfolio managers
- On relative performance, remuneration and risk taking of asset managers
- Optimal investment with high-watermark performance fee
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