Faculty Candidate Seminar

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TITLE:  Money Management with Performance FeesSPEAKER:  Daniel MitchellABSTRACT: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.


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


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