Portfolio optimization under convex incentive schemes
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DOI: 10.1007/s00780-014-0236-9
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Cited by:
- Bin Zou, 2017. "Optimal Investment In Hedge Funds Under Loss Aversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-32, May.
- Marcos Escobar-Anel & Vincent Höhn & Luis Seco & Rudi Zagst, 2018. "Optimal fee structures in hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 522-542, December.
- Escobar-Anel, M. & Havrylenko, Y. & Zagst, R., 2020.
"Optimal fees in hedge funds with first-loss compensation,"
Journal of Banking & Finance, Elsevier, vol. 118(C).
- Marcos Escobar-Anel & Yevhen Havrylenko & Rudi Zagst, 2023. "Optimal fees in hedge funds with first-loss compensation," Papers 2310.19023, arXiv.org.
- Yang Liu & Zhenyu Shen, 2024. "Modelling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets," Papers 2406.00435, arXiv.org.
- Thai Nguyen & Mitja Stadje, 2018. "Optimal investment for participating insurance contracts under VaR-Regulation," Papers 1805.09068, arXiv.org, revised Jul 2019.
- Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
- Zongxia Liang & Yang Liu & Litian Zhang, 2021. "A Framework of State-dependent Utility Optimization with General Benchmarks," Papers 2101.06675, arXiv.org, revised Dec 2023.
- Alain Bensoussan & Abel Cadenillas & Hyeng Keun Koo, 2015. "Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 902-914, October.
- Zongxia Liang & Yang Liu & Ming Ma & Rahul Pothi Vinoth, 2021. "A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities," Papers 2107.06460, arXiv.org, revised Oct 2023.
- John Armstrong & Damiano Brigo & Alex S. L. Tse, 2020. "The importance of dynamic risk constraints for limited liability operators," Papers 2011.03314, arXiv.org.
- Dong, Yinghui & Zheng, Harry, 2020. "Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan," European Journal of Operational Research, Elsevier, vol. 281(2), pages 341-356.
- Anne MacKay & Adriana Ocejo, 2022. "Portfolio Optimization With a Guaranteed Minimum Maturity Benefit and Risk-Adjusted Fees," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1021-1049, June.
- Christian Dehm & Thai Nguyen & Mitja Stadje, 2020. "Non-concave expected utility optimization with uncertain time horizon," Papers 2005.13831, arXiv.org, revised Oct 2021.
- Bi, Xiuchun & Cui, Zhenyu & Fan, Jiacheng & Yuan, Lvning & Zhang, Shuguang, 2023. "Optimal investment problem under behavioral setting: A Lagrange duality perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
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More about this item
Keywords
Portfolio optimization; Fund manager’s problem; Incentive scheme; Convex duality; Delegated portfolio management; 91G10; 90C26; G11;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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