Boston, MA 02215
Boston University - Department of Mathematics and Statistics
Dublin City University - School of Mathematical Sciences
in Total Papers Downloads
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transaction costs, long-run, portfolio choice, Merton problem
trading volume, long-run, portfolio choice, liquidity
transaction costs, long-run, portfolio choice, liquidity premium, trading volume
Hedge Funds, High-Water Marks, Performance Fees, Portfolio Choice, Incentives, Risk shifting
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: MAFI.
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hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation
Arbitrage, Fundamental Theorem of Asset Pricing, Transaction Costs, Admissible Strategies, Finite Variation
loss aversion, portfolio choice, consumption, endowments
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP10064.
consumption, endowments, loss aversion, portfolio choice
Arbitrage, Bubbles, Transaction Costs, Local Martingales
Long Run, Portfolio Choice, Derivatives Pricing, Incomplete Markets
alpha, hedge funds, mutual funds, portfolio management, options
File name: DP7676.
alpha, hedge funds, mutual funds, options, portfolio management
leverage, transaction costs, portfolio choice, performance evaluation
transaction costs, long-run, portfolio choice, exponential utility, trading volume
transaction costs, long‐run portfolio choice, exponential utility, trading volume
hedging, arbitrage, price-impact, frictions, utility maximization
transaction costs, dividends, long-run, portfolio choice
hedge funds, portfolio choice, high-water marks, performance fees, management fees
portfolio choice, consumption, incomplete markets, power utility
Portfolio Choice, Incomplete Markets, Long-Run, Utility Functions, Turnpikes
price-impact, portfolio choice, square-root law, trading volume
portfolio choice, transaction costs, hedging, illiquidity, fund separation
price impact, long-run, portfolio choice, liquidity
long run, portfolio choice, incentives, executive compensation
fund separation, long horizon, portfolio choice
portfolio choice, fund separation, long horizon
File name: mafi.
File name: j-9965.
utility maximization, asymptotic elasticity, integral representation
loss aversion, market participation, personal equilibria, portfolio choice, reference dependence
fractional Brownian motion, transaction costs, price impact, trading
transaction costs, performance evaluation, tracking error, leverage, ETFs
healthcare, consumption, aging, mortality, Gompertz law
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