Incentive Contracts and Hedge Fund Management

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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=""/> <dc:rights>terms-of-use</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:rights 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>

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