EconStor >
Universität Konstanz >
Center of Finance and Econometrics (CoFE), Universität Konstanz >
CoFE-Diskussionspapiere, Universität Konstanz >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/23561
  
Title:Incentive Contracts and Hedge Fund Management: A Numerical Evaluation Procedure PDF Logo
Authors:Jackwerth, Jens Carsten
Hodder, James E.
Issue Date:2003
Series/Report no.:Discussion paper series / Universität Konstanz, Center of Finance and Econometrics (CoFE) 03/10
Abstract:The behavior of a hedge-fund manager naturally depends on her compensation scheme, her preferences, and constraints on her risk-taking. We propose a numerical method which can be used to analyze the impact of these influences. The model leads to several interesting and novel results concerning her risk-taking and other managerial decisions. We are able to relate our results to partial results in the literature and show how they fit in a more general context. We also allow the manager to voluntarily shutdown the fund as well as enhancing the fund?s Sharpe Ratio through additional effort. Both these extensions generate additional insights. Throughout the paper, we find that even slight changes in the compensation structure or the extent of managerial discretion can lead to drastic changes in her risk-taking.
Persistent Identifier of the first edition:urn:nbn:de:bsz:352-opus-11718
Document Type:Working Paper
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

Files in This Item:
File Description SizeFormat
dp03_10.pdf1.4 MBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/23561

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.