Optimal investment problem for an open-end fund with dynamic flows-Reference-Cited by-同舟云学术

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Optimal investment problem for an open-end fund with dynamic flows

Published:2020-05-05 Issue:12 Volume:94 Page:3275-3287
ISSN:0020-7179
Container-title:International Journal of Control
language:en
Short-container-title:International Journal of Control

Author:

Han Kai¹,Rong Ximin¹²,Zhao Hui¹,Wang Suxin¹³

Affiliation:

1. School of Mathematics, Tianjin University, Tianjin, People's Republic of China

2. Center for Applied Mathematics, Tianjin University, Tianjin, People's Republic of China

3. School of Finance, Tianjin University of Finance and Economics, Tianjin, People's Republic of China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Computer Science Applications,Control and Systems Engineering

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207179.2020.1758960

Reference45 articles.

1. Investment strategies and compensation of a mean–variance optimizing fund manager

2. Bayesian Portfolio Analysis

3. False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

4. Asset management, High Water Mark and flow of funds

5. Mutual Fund Flows and Performance in Rational Markets

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1. A proposal for measuring efficiency losses of asset management companies: Frontier-based approach;Borsa Istanbul Review;2022-09

2. Continuous-time stochastic mutual fund management game between active and passive funds;Quantitative Finance;2021-03-23

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