Delegated Portfolio Management and Risk-Taking of Hedge Funds

Kurzanzeige
dc.contributor.authorJackwerth, Jens
dc.date.accessioned2023-10-24T13:13:54Z
dc.date.available2023-10-24T13:13:54Z
dc.date.issued2020
dc.description.abstractWhen an investor delegates portfolio management to a hedge fund manager, whose risk-taking preference governs? Single-period models suggest stark variation in risk-taking across fund value and time as fund managers maximized their own well-being. Empirical validation is hard to come by, as each hedge fund traces out only a few points on that risk-taking surface. Cross-sectional pooling of normalized returns allows precise estimation of the normalized risk-taking surface. In fact, it is almost flat with some increased risk-taking at low fund values. A multi-year model is consistent with the findings.
dc.description.versionpublisheddeu
dc.identifier.urihttps://kops.uni-konstanz.de/handle/123456789/67968
dc.language.isoeng
dc.subjectRisk-taking
dc.subjecthedge funds
dc.subject.ddc330
dc.titleDelegated Portfolio Management and Risk-Taking of Hedge Fundseng
dc.typeWORKINGPAPER
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kops.citation.bibtex
@techreport{Jackwerth2020Deleg-67968,
  year={2020},
  title={Delegated Portfolio Management and Risk-Taking of Hedge Funds},
  author={Jackwerth, Jens}
}
kops.citation.iso690JACKWERTH, Jens, 2020. Delegated Portfolio Management and Risk-Taking of Hedge Fundsdeu
kops.citation.iso690JACKWERTH, Jens, 2020. Delegated Portfolio Management and Risk-Taking of Hedge Fundseng
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