Browsing by Author "Ramirez, Hugo E."
Ramirez , Hugo E.; DUCK, PETER; JOHNSON, PAUL V.; HOWELL, SYDNEY"We propose a model for a manager of a hedge fund with a liquidity constraint, where he is seeking to optimize his utility of wealth, with one and multiple period horizons. By using stochastic control techniques, we state ...Artículo. 2019
Ramirez , Hugo E.; Johnson, Paul; Duck, Peter; Howell, Sydney"This study explores hedge funds from the perspective of investors and the motivation behind their investments. We model a typical hedge fund contract between an investor and a manager, which includes the manager’s special ...Artículo. 2018