2 papers
q-fin.MF2019
Lifetime Ruin under High-watermark Fees and Drift Uncertainty
Junbeom Lee, Xiang Yu, Chao Zhou
This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to…
q-fin.MF2019
A Risk-Sharing Framework of Bilateral Contracts
Junbeom Lee, Stephan Sturm, Chao Zhou
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce differe…