PROFIT SHARING IN HEDGE FUNDS
From MaRDI portal
Publication:4635031
DOI10.1111/mafi.12143zbMath1403.91312OpenAlexW3126036293MaRDI QIDQ4635031
Publication date: 13 April 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12143
Management decision making, including multiple objectives (90B50) Utility theory (91B16) Portfolio theory (91G10)
Related Items (17)
Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees ⋮ Optimal asset allocation for participating contracts with mortality risk under minimum guarantee ⋮ Optimal investment strategies for participating contracts ⋮ Optimal investment problem under behavioral setting: a Lagrange duality perspective ⋮ Weighted utility optimization of the participating endowment contract ⋮ OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION ⋮ A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints ⋮ Optimal investment of DC pension plan under short-selling constraints and portfolio insurance ⋮ Optimal investment strategies with a minimum performance constraint ⋮ Analysis of an optimal stopping problem arising from hedge fund investing ⋮ Optimal Control of DC Pension Plan Management under Two Incentive Schemes ⋮ Pricing Shared-Loss Hedge Fund Fee Structures ⋮ Optimal asset allocation for participating contracts under the VaR and PI constraint ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts ⋮ PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Cites Work
- A parametric analysis of prospect theory's functionals for the general population
- Advances in prospect theory: cumulative representation of uncertainty
- An axiomatization of cumulative prospect theory
- Violations of the betweenness axiom and nonlinearity in probability
- An index of loss aversion
- An experimental test of loss aversion
- Do financial professionals behave according to prospect theory? An experimental study
- Portfolio optimization under convex incentive schemes
- Optimal contracting with moral hazard and behavioral preferences
- Coherent Measures of Risk
- THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS
- Loss-based risk measures
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- The Framing of Decisions and the Psychology of Choice
- Making Descriptive Use of Prospect Theory to Improve the Prescriptive Use of Expected Utility
- Prospect Theory: An Analysis of Decision under Risk
- Curvature of the Probability Weighting Function
- External Risk Measures and Basel Accords
This page was built for publication: PROFIT SHARING IN HEDGE FUNDS
