Browsing Waterloo Research by Subject "optimal stopping"
Now showing items 1-2 of 2
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Analysis of an Optimal Stopping Problem Arising from Hedge Fund Investing
(Elsevier, 2020)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 a piecewise linear payoff ... -
Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures
(Oxford Academic, 2022-04)We study the optimal stopping problem arising from an investor determining the optimal time to withdraw from a hedge fund investment with a shared loss fee structure and a positive fee for assets under management. The ...