In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffers from several problems. Firstly, how is ...

In this paper we solve the hedge fund manager’s optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager’s payoff at the end of the year will ...

The use of trading stops is a common practice in financial markets for a variety of reasons: it reduces the frequency of trading and thereby transaction costs; it provides a simple way to control losses on a given trade, ...