Oxford, OX1 4AU
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American option, dynamic programming principle, Kantorovich duality, martingale optimal transport, measure valued martingale, nondominated model, randomized stopping times, superreplication, weak formulation, Primary: 60G40, 60G05, Secondary: 49M29
drawdown constraints, numéraire property, asymptotic growth, portfolio risk management
hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation
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