Incomplete markets, Knightian uncertainty and high-water marks
Year of publication: |
2020
|
---|---|
Authors: | Liu, Fengjun ; Niu, Yingjie ; Zou, Zhentao |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 48.2020, 2, p. 195-201
|
Subject: | Ambiguity | Hedge fund | High-water mark | Non-diversifiable risk | Theorie | Theory | Hedgefonds | Risiko | Risk | Unvollkommener Markt | Incomplete market | Entscheidung unter Unsicherheit | Decision under uncertainty |
-
Robust risk choice under high-water mark contract
Mu, Congming, (2023)
-
Optimal risk taking under high-water mark contract with jump risk
Mu, Congming, (2021)
-
Trading off accuracy for speed : hedge funds' decision-making under uncertainty
Dragomirescu-Gaina, Catalin, (2021)
- More ...
-
Timeâvarying risk of rare disasters, investment, and asset pricing
Liu, Bo, (2020)
-
Endogenous discounting, investment and asset pricing
Niu, Yingjie, (2021)
-
Dynamic Agency and Investment Theory under Model Uncertainty
Niu, Yingjie, (2018)
- More ...