THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS

DOI10.1111/mafi.12057zbMath1348.91254OpenAlexW2765589038MaRDI QIDQ2799996

Jan Obłój, Paolo Guasoni

Publication date: 14 April 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12057

zbMATH Keywords

competitive equilibriumincentivesportfolio choicerisk-shiftinghedge fundsperformance feeshigh-water marksmanager's participation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (16)

Portfolio management under drawdown constraint in discrete-time financial markets ⋮ Consumption and investment with interest rate risk ⋮ Performance Fees with Stochastic Benchmark ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model ⋮ OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION ⋮ PROFIT SHARING IN HEDGE FUNDS ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Portfolio optimization under convex incentive schemes ⋮ Analysis of an optimal stopping problem arising from hedge fund investing ⋮ The Optimal Interaction between a Hedge Fund Manager and Investor ⋮ Hedge and mutual funds' fees and the separation of private investments ⋮ Asset management with endogenous withdrawals under a drawdown constraint ⋮ HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT

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