The behavior of a hedge-fund manager naturally depends on her compensation scheme, her preferences, and constraints on her risk-taking. We propose a numerical method which can be used to analyze the impact of these influences. The model leads to several interesting and novel results concerning...

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show...

In diesem Beitrag wird untersucht, welchen Einfluss die Entlohnung eines Managers mit Fixum und gewinnbezogenem Bonus auf seinen Arbeitseinsatz und seine Bilanzpolitik ausübt. Dazu wird das LEN-Modell auf die gesamte Lebensdauer des Unternehmens erweitert. Die Gewinnmanipulationen müssen sich...

This paper investigates dynamically optimal risk-taking by an expected-utility maximizing manager of a hedge fund. We examine the effects of variations on a compensation structure that includes a percentage management fee, a performance incentive for exceeding a specified highwater mark, and...