Incomplete markets, Knightian uncertainty and high-water marks

DOI10.1016/j.orl.2020.02.005OpenAlexW3007171935MaRDI QIDQ1984697

Feng-Jun Liu, Yingjie Niu, Zhentao Zou

Publication date: 7 April 2020

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

Full work available at URL: https://doi.org/10.1016/j.orl.2020.02.005

zbMATH Keywords

ambiguitynon-diversifiable riskhedge fundhigh-water mark

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (2)

Robust risk-taking under a sustainable constraint ⋮ Structural credit risk model driven by Lévy process under knight uncertainty

Cites Work

• Incomplete markets, ambiguity, and irreversible investment
• Optimal investment strategy under time-inconsistent preferences and high-water mark contract
• Hedge fund's dynamic leverage decisions under time-inconsistent preferences
• Irreversible investment and Knightian uncertainty
• Risk, Ambiguity, and the Savage Axioms
• Robust Contracts in Continuous Time
• Robustness
• Ambiguity, Risk, and Asset Returns in Continuous Time

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