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Continuous-time stochastic mutual fund management game between active and passive funds

Han, K; Rong, XM; Shen, Y; Zhao, H

Shen, Y (corresponding author), Univ New South Wales, Sch Risk & Actuarial Studies, Sydney, NSW, Australia.; Shen, Y (corresponding author), Univ New South Wales, CEPAR, Sydney, NSW, Australia.

QUANTITATIVE FINANCE, ; ():

Abstract

This paper investigates a Stackelberg game between a mutual fund manager and an investor. Throughout the paper, we follow the literature (see, e.g. Li......

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