Optimal Investment with High-watermark Performance Fee
نویسندگان
چکیده
منابع مشابه
Optimal Investment with High-watermark Performance Fee
We consider the problem of optimal investment and consumption when the investment opportunity is represented by a hedge-fund charging proportional fees on profit. The value of the fund evolves as a geometric Brownian motion and the performance of the investment and consumption strategy is measured using discounted power utility from consumption on infinite horizon. The resulting stochastic cont...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2012
ISSN: 0363-0129,1095-7138
DOI: 10.1137/100790884