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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar M., Havrylenko Y., and R. Zagst 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
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 
Zeitschriftentitel:
Jounal of Banking and Finance 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2020 
Band / Volume:
118 
Reviewed:
ja 
Hinweise:
Accepted for publication 
Status:
Postprint / reviewed 
Key publication:
Nein 
Peer reviewed:
Ja 
commissioned:
not commissioned 
Technology:
Nein 
Interdisziplinarität:
Nein 
Leitbild:
Ethics & Sustainability:
Nein 
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