High-Water Marks and Hedge Fund Management Contracts with Partial Information

2012 ◽  
Author(s):  
Dandan Song ◽  
Jinqiang Yang ◽  
Zhaojun Yang
Keyword(s):  
Partial Information ◽  
Hedge Fund ◽  
High Water ◽  
Fund Management ◽  
Management Contracts

High-Water Marks and Hedge Fund Management Contracts with Partial Information

2012 ◽  
Vol 42 (3) ◽  
pp. 327-350 ◽  
Author(s):  
Dandan Song ◽  
Jinqiang Yang ◽  
Zhaojun Yang
Keyword(s):  
Partial Information ◽  
Hedge Fund ◽  
High Water ◽  
Fund Management ◽  
Management Contracts

High-Water Marks and Hedge Fund Management Contracts

1998 ◽  
Author(s):  
William N. Goetzmann ◽  
Jonathan E. Ingersoll Jr. ◽  
Stephen A. Ross
Keyword(s):  
Hedge Fund ◽  
High Water ◽  
Fund Management ◽  
Management Contracts

High-Water Marks and Hedge Fund Management Contracts

2003 ◽  
Vol 58 (4) ◽  
pp. 1685-1718 ◽  
Author(s):  
William N. Goetzmann ◽  
Jonathan E. Ingersoll ◽  
Stephen A. Ross
Keyword(s):  
Hedge Fund ◽  
High Water ◽  
Fund Management ◽  
Management Contracts

scholarly journals Incentive Contracts and Hedge Fund Management

2007 ◽  
Vol 42 (4) ◽  
pp. 811-826 ◽  
Author(s):  
James E. Hodder ◽  
Jens Carsten Jackwerth
Keyword(s):  
Risk Taking ◽  
Boundary Behavior ◽  
Hedge Fund ◽  
Incentive Contracts ◽  
Fund Management ◽  
Power Utility ◽  
Incentive Effects ◽  
Realistic Approach ◽  
One Year

AbstractWe investigate incentive effects of a typical hedge fund contract for a manager with power utility. With a one-year horizon, the manager displays risk taking that varies dramatically with fund value. We extend the model to multiple yearly evaluation periods and find that the manager's risk taking is rapidly moderated if the fund performs reasonably well. The most realistic approach to modeling fund closure uses an endogenous shutdown barrier where the manager optimally chooses to shut down. The manager increases risk taking as fund value approaches that barrier, and this boundary behavior persists strongly with multiyear horizons.

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