Performance fees and hedge fund return dynamics

DOI10.1016/J.IJAR.2015.03.006zbMath1333.91049OpenAlexW2003403681MaRDI QIDQ897751

Serge Darolles, Christian Gouriéroux

Publication date: 7 December 2015

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2015.03.006

zbMATH Keywords

hedge fundshigh water markmanager incentiveperformance feesrisk appetite

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Cites Work

• Threshold models in non-linear time series analysis
• Strict stationarity of generalized autoregressive processes

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