Incentive Contracts and Hedge Fund Management

Jackwerth, Jens; Hodder, James E.

Incentive Contracts and Hedge Fund Management

Dateien

Incentive_Contracts_and_Hedge_Fund_Management.pdfGröße: 255.59 KBDownloads: 341

Datum

2007

Autor:innen

Jackwerth, Jens

Hodder, James E.

URI (zitierfähiger Link)

http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-52868

Link zur Lizenz

Attribution-NonCommercial-NoDerivs 2.0 Generic

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Journal of Financial and Quantitative Analysis. 2007, 42(4), pp. 811-826

Zusammenfassung

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.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

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

BibTex

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

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Universitätsbibliographie

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