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Document type:
Zeitschriftenaufsatz 
Author(s):
Escobar M., Havrylenko Y., and R. Zagst 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Optimal Fees in Hedge Funds with First-Loss Compensation 
Abstract:
Hedge fund managers compensated by first-loss fee structures charge a management fee and a performance fee as in the traditional scheme but they also guarantee to cover a certain amount of investors’ potential losses. Applying the expected utility framework, we compute the set of first-loss fee structures that are Pareto optimal for the manager and the investor. We find that the traditional scheme of a management fee of 2% and a performance fee of 20% is not Pareto optimal. First-loss fee structure...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Jounal of Banking and Finance 
Journal listet in FT50 ranking:
nein 
Year:
2020 
Journal volume:
118 
Reviewed:
ja 
Notes:
Accepted for publication 
Status:
Postprint / reviewed 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein 
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