Faculty Candidate Seminar

Event Details
  • Date/Time:
    • Tuesday December 10, 2013
      10:00 am - 11:00 am
  • Location: Room 228 Main
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact

Jennifer Harris

jharris@isye.gatech.edu

Summaries

Summary Sentence: Faculty Candidate Seminar

Full Summary: No summary paragraph submitted.

TITLE:  Money Management with Performance Fees

SPEAKER:  Daniel Mitchell

ABSTRACT:

Hedge fund contracts are generally characterized by a flat fee, a performance fee and what are
know as high-water-mark provisions. This paper describes and characterizes these contract
features and analyzes how they influence the hedge fund's risk choices. We model the hedge
fund's portfolio choice as a stochastic control problem with hybrid discrete and continuous controls. We develop a computational method to solve this class of problems and prove its convergence.

Additional Information

In Campus Calendar
No
Groups

School of Industrial and Systems Engineering (ISYE)

Invited Audience
Faculty/Staff
Categories
Seminar/Lecture/Colloquium
Keywords
No keywords were submitted.
Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Dec 5, 2013 - 4:16am
  • Last Updated: Oct 7, 2016 - 10:05pm