Browsing by Author "Duembgen, Moritz"
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Estimate nothing
Duembgen, Moritz; Rogers, Leonard Christopher (Taylor & FrancisQuantitative Finance, 2014)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 ...
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Investing and stopping
Duembgen, Moritz; Rogers, Leonard Christopher (Applied Probability TrustJournal of Applied Probability, 2014)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 ...