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