Fee structure and equity fund manager's optimal locking in profits strategy
D Dickinson, X Han, Z Liu, Y Zhan - International Review of Financial …, 2024 - Elsevier
We study the effects of fee structures on fund managers' strategies for locking in profits.
Utilizing the optimal stopping time method, we identify two critical portfolio value thresholds …
Utilizing the optimal stopping time method, we identify two critical portfolio value thresholds …
Equilibrium in Style: A Modeling Framework on the Cash Flow and the Life Cycle of a Consumer Store
S Han, J Lei, Y Liu - arXiv preprint arXiv:2404.02426, 2024 - arxiv.org
The consumer store is ubiquitous and plays an important role in our everyday lives. It is an
open question why stores usually have such short life cycles (typically around 3 years in …
open question why stores usually have such short life cycles (typically around 3 years in …
Modelling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets
Y Liu, Z Shen - arXiv preprint arXiv:2406.00435, 2024 - arxiv.org
In hedge funds, convex compensation schemes are popular to stimulate a high-profit
performance for portfolio managers. In economics, non-monotone risk aversion is proposed …
performance for portfolio managers. In economics, non-monotone risk aversion is proposed …
[HTML][HTML] On the equivalence between Value-at-Risk-and Expected Shortfall-based risk measures in non-concave optimization
We study a non-concave optimization problem in which an insurance company maximizes
the expected utility of the surplus under a risk-based regulatory constraint. The non …
the expected utility of the surplus under a risk-based regulatory constraint. The non …