{"id":"https://openalex.org/W1969088168","doi":"https://doi.org/10.1137/100790884","title":"Optimal Investment with High-watermark Performance Fee","display_name":"Optimal Investment with High-watermark Performance Fee","publication_year":2012,"publication_date":"2012-01-01","ids":{"openalex":"https://openalex.org/W1969088168","doi":"https://doi.org/10.1137/100790884","mag":"1969088168"},"language":"en","primary_location":{"id":"doi:10.1137/100790884","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100790884","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087688271","display_name":"Karel Jane\u010dek","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Karel Jane\u010dek","raw_affiliation_strings":["Karel.Janecek@rsj.cz#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Karel.Janecek@rsj.cz#TAB#","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5005194674","display_name":"Mihai \u015c\u0131rbu","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Mihai S\u00eerbu","raw_affiliation_strings":["sirbu@math.utexas.edu#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"sirbu@math.utexas.edu#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":5.7751,"has_fulltext":false,"cited_by_count":33,"citation_normalized_percentile":{"value":0.96096314,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"50","issue":"2","first_page":"790","last_page":"819"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9819999933242798,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9815000295639038,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.7551779747009277},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.7054795622825623},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6738882660865784},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.6691368222236633},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.661687433719635},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6269524693489075},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.5912202000617981},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.5815465450286865},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.5334174036979675},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.50426185131073},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.49145710468292236},{"id":"https://openalex.org/keywords/hedge-fund","display_name":"Hedge fund","score":0.46121299266815186},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.4526687264442444},{"id":"https://openalex.org/keywords/consumption","display_name":"Consumption (sociology)","score":0.4468037188053131},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.42818740010261536},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.42629873752593994},{"id":"https://openalex.org/keywords/representation","display_name":"Representation (politics)","score":0.41412073373794556},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2605533301830292},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.23000001907348633},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.2273140251636505},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.17021793127059937},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.14358395338058472}],"concepts":[{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.7551779747009277},{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.7054795622825623},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6738882660865784},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.6691368222236633},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.661687433719635},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6269524693489075},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.5912202000617981},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.5815465450286865},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.5334174036979675},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.50426185131073},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.49145710468292236},{"id":"https://openalex.org/C204434749","wikidata":"https://www.wikidata.org/wiki/Q105611","display_name":"Hedge fund","level":2,"score":0.46121299266815186},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4526687264442444},{"id":"https://openalex.org/C30772137","wikidata":"https://www.wikidata.org/wiki/Q5164762","display_name":"Consumption (sociology)","level":2,"score":0.4468037188053131},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.42818740010261536},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.42629873752593994},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.41412073373794556},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2605533301830292},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23000001907348633},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.2273140251636505},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.17021793127059937},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.14358395338058472},{"id":"https://openalex.org/C36289849","wikidata":"https://www.wikidata.org/wiki/Q34749","display_name":"Social science","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/100790884","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100790884","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.568.9192","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.568.9192","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://www.ma.utexas.edu/users/sirbu/papers/13-SICON.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1484091935","https://openalex.org/W1586483640","https://openalex.org/W1893610324","https://openalex.org/W1976352744","https://openalex.org/W1976551585","https://openalex.org/W1984697146","https://openalex.org/W2005158847","https://openalex.org/W2032316144","https://openalex.org/W2046913100","https://openalex.org/W2102343992","https://openalex.org/W2114971059","https://openalex.org/W2115580984","https://openalex.org/W3122584155","https://openalex.org/W3123649118","https://openalex.org/W3125897004"],"related_works":["https://openalex.org/W2350933764","https://openalex.org/W2743900035","https://openalex.org/W2375407349","https://openalex.org/W2180817123","https://openalex.org/W2094032802","https://openalex.org/W2787582544","https://openalex.org/W3197359003","https://openalex.org/W2963548356","https://openalex.org/W4386219949","https://openalex.org/W171187312"],"abstract_inverted_index":{"We":[0,66],"consider":[1],"the":[2,10,27,36,39,72,83,88],"problem":[3,59],"of":[4,26,38,87],"optimal":[5,89],"investment":[6,11,40],"and":[7,35,41,80,85],"consumption":[8,42,51],"when":[9],"opportunity":[12],"is":[13,44,60],"represented":[14],"by":[15,68],"a":[16,31,77],"hedge":[17],"fund":[18,28],"charging":[19],"proportional":[20],"fees":[21],"on":[22,52],"profit.":[23],"The":[24,55],"value":[25],"evolves":[29],"as":[30],"geometric":[32],"Brownian":[33],"motion":[34],"performance":[37],"strategy":[43],"measured":[45],"using":[46,62,94],"discounted":[47],"power":[48],"utility":[49],"from":[50],"infinite":[53],"horizon.":[54],"resulting":[56],"stochastic":[57],"control":[58,90],"solved":[61],"dynamic":[63],"programming":[64],"arguments.":[65,96],"show":[67],"analytical":[69],"methods":[70],"that":[71],"associated":[73],"Hamilton\u2013Jacobi\u2013Bellman":[74],"equation":[75],"has":[76],"smooth":[78],"solution":[79],"then":[81],"obtain":[82],"existence":[84],"representation":[86],"in":[91],"feedback":[92],"form":[93],"verification":[95]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
