Optimal investment under high-water mark contracts with model ambiguity
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DOI: 10.1016/j.najef.2023.101996
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More about this item
Keywords
Hedge fund; High-water mark (HWM); Portfolio strategy; Ambiguity;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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