Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model
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Publication:5123453
DOI10.1137/18M1205066zbMath1448.91272MaRDI QIDQ5123453
Zheng Li, Mihai Sîrbu, Karel Janeček
Publication date: 28 September 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://repositories.lib.utexas.edu/bitstream/handle/2152/63034/LI-DISSERTATION-2017.pdf?sequence=1
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Performance Fees with Stochastic Benchmark, Lifetime ruin under high-water mark fees and drift uncertainty
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