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Hedge-fund management with liquidity constraint

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dc.creatorRamírez Jaime, Hugo Eduardospa
dc.creatorDUCK, PETERspa
dc.creatorJOHNSON, PAUL V.spa
dc.creatorHOWELL, SYDNEYspa
dc.date.accessioned2020-05-25T23:55:38Z
dc.date.available2020-05-25T23:55:38Z
dc.date.created2019spa
dc.description.abstractWe 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 the corresponding multi-dimensional Hamilton-Jacobi-Bellman partial differential equation and we use a robust numerical approximation to obtain its unique viscosity solution. We examine the effects of the liquidity constraint on managerial trading decisions and optimal allocation, finding that the manager behaves in a less risky manner. We also calculate the cost of being at sub-optimal positions as the difference in the certainty equivalent payoff for the manager. Moreover, we compare the values of a benchmark hedge fund with another one having a risky asset with a higher rate of return but less liquidity, finding that higher rate of return with a liquidity constraint does not always lead to greater return. © 2019 World Scientific Publishing Company.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1142/S0219024919500262
dc.identifier.issn2190249
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/22155
dc.language.isoengspa
dc.publisherWorld Scientific Publishing Co. Pte Ltdspa
dc.relation.citationIssueNo. 6
dc.relation.citationTitleInternational Journal of Theoretical and Applied Finance
dc.relation.citationVolumeVol. 22
dc.relation.ispartofInternational Journal of Theoretical and Applied Finance, ISSN:2190249, Vol.22, No.6 (2019)spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85071020857&doi=10.1142%2fS0219024919500262&partnerID=40&md5=4fbc7f25530129f566f95d351c8e7db2spa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordFinite differencesspa
dc.subject.keywordHedge-fund managementspa
dc.subject.keywordLiquidityspa
dc.subject.keywordSemi-lagrangianspa
dc.subject.keywordStochastic controlspa
dc.titleHedge-fund management with liquidity constraintspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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