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

H. Milton Stewart 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