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Faculty Candidate Seminar

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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.

Status

  • Workflow Status:Published
  • Created By:Anita Race
  • Created:12/05/2013
  • Modified By:Fletcher Moore
  • Modified:10/07/2016

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