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Risk Choice under High-Water Marks
I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the manager's outside option value is low, investors' termination policy is strict, or management fees are high, then negative returns induce the manager into "derisking.'' Otherwise, he engages in "gambling.'' Having the option to walk away increases risk taking, though in many cases exercise is never optimal. In particular, leaving to restart at a proportionally smaller fund is always suboptimal.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| RFS2707 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Oxford: Oxford University Press 2014 |
|---|---|
| Edisi | Vol. 27 No. 7, Jul 2014 |
| Subjek | Risk Risk taking Portfolio Choice Option Hedge fund Restart high water mark dynamic |
| ISBN/ISSN | 1465-7368 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 2266 p. |
| Info Detail Spesifik | The Review of Financial Studies |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |