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The numeraire property and long-term growth optimality for drawdown-constrained investments
numeraire property long-term growth optimality drawdown-constrained investments
2012/9/14
We consider the portfolio choice problem for an investor interested in long-run growth optimality while facing drawdown constraints in a general continuous semimartingale model. The paper introduces t...
High-Water Marks and Separation of Private Investments
Hedge Funds Portfolio Choice High-Water Marks Performance Fees.
2012/9/14
A fund manager is paid performance fees with a high-water mark provision, and invests both fund’sassets and private wealth in separate but potentially correlated risky assets, aiming to maximize ex-pe...