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Persistent link: https://www.econbiz.de/10013410898

Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure

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Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

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Optimal investment under high-water mark contracts with model ambiguity

Wang, Ying; Wu, Wei-xing; Huang, Wenli; Liu, Wenqiong - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014486270

Optimal Investment Under High-Water Mark Contracts with Model Ambiguity

Wang, Ying; Wu, Weixing; huang, wenli; Liu, Wenqiong - 2023

This paper incorporates model ambiguity into the traditional hedge fund models to explore how ambiguity influences the manager's investment strategy, risk attitude and compensation structure. We find the manager is ambiguity aversion. Model ambiguity enhances her level of endogenous risk...

Persistent link: https://www.econbiz.de/10014257026

Should investors invest in hedge fund-like mutual funds? : evidence from the 2007 financial crisis

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Timing ability of government bond fund managers : evidence from portfolio holdings

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Can liquidity risk explain diseconomies of scale in hedge funds?

Shawky, Hany A.; Wang, Ying - In: The quarterly journal of finance 7 (2017) 2, pp. 1-35

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Does portfolio concentration affect performance? Evidence from corporate bond mutual funds

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TARCH model-based dynamic hedging strategy of ADR portfolios

Guo, Haochen; Zmeškal, Zdeněk - In: International journal of economics and accounting : IJEA 11 (2022) 2, pp. 199-211

Persistent link: https://www.econbiz.de/10013454273