Incentive Contracts and Hedge Fund Management
研究典型对冲基金合同对经理人风险承担行为的影响，发现基金价值接近关闭边界时经理人会增加风险承担，且该行为在多年期下持续存在。
Abstract We investigate incentive effects of a typical hedge fund contract for a manager with power utility. With a one-year horizon, the manager displays risk taking that varies dramatically with fund value. We extend the model to multiple yearly evaluation periods and find that the manager's risk taking is rapidly moderated if the fund performs reasonably well. The most realistic approach to modeling fund closure uses an endogenous shutdown barrier where the manager optimally chooses to shut down. The manager increases risk taking as fund value approaches that barrier, and this boundary behavior persists strongly with multiyear horizons.