We investigate the impacts of fee structure on a typical on the fund manager's optimal selling price. The fee structure includes the self-investment ratio in the fund, management fee, incentive fee, and the high watermark. Based on the explicit solution of the optimal selling price, we find that...

We study forward curves formed from commodity futures prices listed on the Standard and Poor's-Goldman Sachs Commodities Index (S&P GSCI) using recently developed tools in functional time series analysis. Functional tests for stationarity and serial correlation suggest that log-differenced...

In comparison to developed securities markets, it is intriguing to observe that the Chinese stock market's momentum or reversal effect is inconsistent. We address this controversy using a novel paradigm based on functional data analysis (FDA) with the goal of reconciling previous inconsistency....

We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the Kelly criterion. The objective function is constructed and solved. We show the superiority of our method in relative low correlated portfolios, relatively to fractional Kelly...