We introduce learning into the hedge fund managers’ risk choice problem with imperfect information. We find that with a constant but unobserved expected return on investment, learning induces managers to take more risks and increases manager compensation. When the return is stochastic,...

This paper incorporates model ambiguity into the traditional hedge fund models to explore how ambiguity influences the manager's investment strategy, risk attitude and compensation structure. We find the manager is ambiguity aversion. Model ambiguity enhances her level of endogenous risk...

Individual’s time preference may be influenced by a variety of factors such as economic conditions. In this paper, we consider the time inconsistent preference triggered by the switches of firm’s profitability state and apply it to the model of dynamic agency and the q theory of investment....