Risk Choice under High-Water Marks
نویسندگان
چکیده
منابع مشابه
Risk Choice under High - Water Marks
I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark contract. The optimal risk choice depends on the ratio of the fund’s assets under management to its high-water mark. If the manager’s outside option value is low, investors’ termination policy is strict, or management fees are high, then negative returns induce the manager into...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2014
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hht081