Analysis of an optimal stopping problem arising from hedge fund investing
نویسندگان
چکیده
منابع مشابه
Asymmetric Returns and Optimal Hedge Fund Portfolios
THE JOURNAL OF ALTERNATIVE INVESTMENTS 9 I t is now well established that the construction of optimal hedge fund portfolios requires techniques that reach well beyond traditional mean variance analysis. For example, Brooks and Kat [2002] demonstrate that various hedge fund strategies have more downside than upside risk—returns exhibit negative skew and excess kurtosis. Lo [2001] and Anson [2002...
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2020
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2019.123559