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Titel:

Optimal Fees in Hedge Funds with First-Loss Compensation

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar M., Havrylenko Y. ; R. Zagst
Nicht-TUM Koautoren:
ja
Kooperation:
international
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
Volltext / DOI:
doi:10.1016/j.jbankfin.2020.105884
Hinweise:
Accepted for publication
Status:
Postprint / reviewed
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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