Incentive contracts and hedge fund management

Article, Research, Preprint, Book English OPEN
Jackwerth, Jens Carsten; Hodder, James E.;
(2005)
  • Publisher: Warwick Business School, Financial Econometrics Research Centre
  • Subject: Anlageverhalten | Führungskräfte | Hedging | Vergütungssystem | Investmentfonds | Anreizvertrag | Hedgefonds | Hedge Fund; Management; Incentive | Theorie | HG
    • jel: jel:G23 | jel:G00
      ddc: ddc:330

This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specifi... View more
  • References (45)
    45 references, page 1 of 5

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    2. Mark Salmon, Gordon Gemmill and Soosung Hwang, Performance Measurement with Loss Aversion, WP05-16

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    5. Lucio Sarno, Daniel Thornton and Giorgio Valente, The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields, WP05-13

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    7. Lucio Sarno, Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?, WP05-11

    8. James Hodder and Jens Carsten Jackwerth, Incentive Contracts and Hedge Fund Management, WP05-10

    9. James Hodder and Jens Carsten Jackwerth, Employee Stock Options: Much More Valuable Than You Thought, WP05-09

    10. Gordon Gemmill, Soosung Hwang and Mark Salmon, Performance Measurement with Loss Aversion, WP05-08

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