Browsing University of Waterloo by Author "Meng, Fei"
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Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures
Meng, Fei; Saunders, David (Oxford Academic, 2022-04)We study the optimal stopping problem arising from an investor determining the optimal time to withdraw from a hedge fund investment with a shared loss fee structure and a positive fee for assets under management. The ... -
Valuation and Risk Management of Hedge Fund Investments under Alternative Fee Structures
Meng, Fei (University of Waterloo, 2020-09-21)Hedge funds have specialized fee structures, often including performance fees designed to align the incentives of investors and fund managers. However, hedge funds have faced intense scrutiny since the financial crisis, ...