Autores: Matias Braun and Hervé Roche

Dr. Hervé Roche Ph.D. in Economics de University of Pennsylvania, Estados Unidos. Actualmente es Profesor Asociado de la Universidad Adolfo Ibáñez, Chile. Sus trabajos en las áreas de valoración de activos, inversión bajo incertidumbre y teoría de portafolios han sido publicados en revistas científicas tales como Journal of Financial Economics. Journal of Economic Theory, Journal of Economic Dynamics and Control, entre otros.

 

 

 

 Abstract:

We solve in closed form the optimal investment strategy of an infinitely lived risk neutral hedge fund manager compensated by a management fee and a high water mark (HWM) contract. The fraction of asset under management (AUM) allocated in equity is a convex increasing function of the distance to the HWM as moving away from the HWM is increasingly bad news both for management and incentive fees. This convexity e ect is enhanced by the size of the incentive fee rate. The higher the management fee rate, the larger the risk exposure, as the revenue insurance e ect gets magnified. Frequently beating by a small amount the HWM is optimal as it mitigates the ratchet feature of the HWM. Data seem to support the theoretical predictions of the model: returns' volatility is strongly related to distance to the HWM: being 20% underwater is associated with an increase of 192 bps increase in the ex-post returns' volatility. Also consistent, the time elapsed between hits and the extent to which the fund surpasses the HWM both increase with
distance to the HWM. An extension shows that a fund termination threat reduces risk taking behavior as the fund drifts away from the HWM, which is consistent with our empirical findings.

[Descargar Artículo]

Fecha y hora: 26 de abril de 2018 | 13:00 hrs
Lugar: Sala P301 (Diagonal Paraguay # 257, Santiago, Chile)

Confirmaciones al correo: Esta dirección de correo electrónico está siendo protegida contra los robots de spam. Necesita tener JavaScript habilitado para poder verlo.

[Volver al Inicio]