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- W2802956242 abstract "This study addresses an investment problem facing a venture fund manager who has a non-smooth utility function. The theoretical model characterizes an absolute performance-based compensation package. Technically, the research methodology features stochastic control and optimal stopping by formulating a free-boundary problem with a nonlinear equation, which is transferred to a new one with a linear equation. Numerical results based on simulations are presented to better illustrate this practical investment decision mechanism." @default.
- W2802956242 created "2018-05-17" @default.
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- W2802956242 date "2019-01-01" @default.
- W2802956242 modified "2023-09-22" @default.
- W2802956242 title "Optimal stopping investment with non-smooth utility over an infinite time horizon" @default.
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- W2802956242 doi "https://doi.org/10.3934/jimo.2018033" @default.
- W2802956242 hasPublicationYear "2019" @default.
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