Mansfield Road
Oxford, OX1 4AU
United Kingdom
hedge funds, high‐water marks, performance fees, portfolio choice, incentives, risk‐shifting, competitive equilibrium, manager's participation
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