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Incentives and Risk Taking in Hedge Funds
Kouwenberg, Roy; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the … in the behavioural framework ofprospect theory. The performance related component encourages funds managers to take … excessive risk. However, risk taking is greatly reduced if a substantial amount of the manager’s own money is in the fund as …
Persistent link: https://www.econbiz.de/10005858410
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Performance in the Hedge Fund Industry : An Analysis of Short and Long-Term Persistence
Bares, Pierre-Antoine; Gibson, Rajna; Gyger, Sebastien - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
In this study we analyze the performance persistence of hedge funds over different time horizons. Using a non-parametric test, we first observe that the relative value and the specialist credit strategies contain the highest proportion of outperforming mangers. Furthermore, there is no evidence...
Persistent link: https://www.econbiz.de/10005859107
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Risk Management for Derivatives in Illiquid Markets : A Simulation-Study
Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
In this paper we study the hedging of derivatives in illiquid markets. More specifically we consider a model where the implementation of a hedging strategy affects the price of the underlying security. Following earlier work we characterize perfect hedging strategies by a nonlinear version of...
Persistent link: https://www.econbiz.de/10005859384