Incentive Contracts and Hedge Fund Management

Cite This

Files in this item

Checksum: MD5:afd6ce3dade9b5c5c6ad366808e6f6d8

JACKWERTH, Jens Carsten, James E. HODDER, 2007. Incentive Contracts and Hedge Fund Management. In: Journal of Financial and Quantitative Analysis. 42(4), pp. 811-826

@article{Jackwerth2007Incen-12178, title={Incentive Contracts and Hedge Fund Management}, year={2007}, number={4}, volume={42}, journal={Journal of Financial and Quantitative Analysis}, pages={811--826}, author={Jackwerth, Jens Carsten and Hodder, James E.} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dcterms:hasPart rdf:resource=""/> <dcterms:rights rdf:resource=""/> <dc:rights>Attribution-NonCommercial-NoDerivs 2.0 Generic</dc:rights> <dc:contributor>Hodder, James E.</dc:contributor> <dc:date rdf:datatype="">2011-03-25T09:43:15Z</dc:date> <dc:creator>Hodder, James E.</dc:creator> <dc:language>eng</dc:language> <dc:creator>Jackwerth, Jens Carsten</dc:creator> <bibo:uri rdf:resource=""/> <dcterms:title>Incentive Contracts and Hedge Fund Management</dcterms:title> <dc:contributor>Jackwerth, Jens Carsten</dc:contributor> <dcterms:isPartOf rdf:resource=""/> <dc:format>application/pdf</dc:format> <dcterms:abstract xml:lang="eng">We investigate incentive effects of a typical hedge-fund contract for a manager with power utility. With a one-year horizon, she displays risk-taking that varies ramatically with fund value. We extend the model to multiple yearly evaluation periods and find her risk-taking is rapidly moderated if the fund performs reasonably well. The most realistic approach to modeling fund closure uses an endogenous shutdown barrier where the manager optimally chooses to shut down. The manager increases risk-taking as fund value approaches that barrier, and this boundary behavior persists strongly with multiyear horizons.</dcterms:abstract> <dcterms:issued>2007</dcterms:issued> <dspace:hasBitstream rdf:resource=""/> <dspace:isPartOfCollection rdf:resource=""/> <dcterms:available rdf:datatype="">2011-03-25T09:43:15Z</dcterms:available> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:bibliographicCitation>First publ. in: Journal of Financial and Quantitative Analysis 42 (2007), 4, pp. 811-826</dcterms:bibliographicCitation> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> </rdf:Description> </rdf:RDF>

Downloads since Oct 1, 2014 (Information about access statistics)

Incentive_Contracts_and_Hedge_Fund_Management.pdf 320

This item appears in the following Collection(s)

Attribution-NonCommercial-NoDerivs 2.0 Generic Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 2.0 Generic

Search KOPS


My Account