Optimal Stopping Problems for Asset Management
نویسندگان
چکیده
منابع مشابه
Optimal Stopping Problems for Asset Management
An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and receives management fee proportional to the value of portfolio. She also has the right to walk out of the contract at any time with the net terminal value of the portfolio after the payment of investors’ initial funds, but is not responsible f...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2012
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1346955259