Analysis of an optimal stopping problem arising from hedge fund investing
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DOI: 10.1016/j.jmaa.2019.123559
Abstract: Abstract We analyze the optimal withdrawal time for an investor in a hedge fund with a first-loss or shared-loss fee structure, given as the solution of an optimal stopping problem on the fund's assets with… read more here.
Keywords: hedge fund; optimal stopping; fund; stopping problem ... See more keywords