Stochastic control problems with performance fees and incomplete markets
This dissertation applies stochastic control theory to two problems: i) portfolio choice of hedge fund managers compensated by performance fees, and ii) consumption and investment in an incomplete market. Part I. Optimal portfolios are derived in closed form for a fund manager, who is paid perfor...
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| Language: | en_US |
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2016
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| Online Access: | https://hdl.handle.net/2144/14088 |