Optimal investment strategy under time-inconsistent preferences and high-water mark contract

DOI10.1016/j.orl.2015.12.013zbMath1408.91188OpenAlexW2219853887MaRDI QIDQ1785748

Fan Wang, Zhong-Fei Li, Chun-Xiang A

Publication date: 1 October 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.12.013

zbMATH Keywords

time-inconsistencyincentive feehigh-water mark (HWM)sophisticated managerstochastic hyperbolic discounting

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (5)

Unique solvability of a singular stochastic control model for population management ⋮ Hedge fund's dynamic leverage decisions under time-inconsistent preferences ⋮ Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes ⋮ Hedge funds trading strategies and leverage ⋮ Incomplete markets, Knightian uncertainty and high-water marks

Cites Work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• Goal-setting and self-control
• Optimal dividend strategies with time-inconsistent preferences
• Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
• Choice and Procrastination
• Contract Design and Self-Control: Theory and Evidence
• Golden Eggs and Hyperbolic Discounting
• Time-Consistent Portfolio Management
• Instantaneous Gratification *
• Markov perfect equilibrium. I: Observable actions

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