Risk Choice under High-Water Marks
用封闭形式求解了高水位线薪酬合约下基金经理的最优动态风险选择，发现风险选择取决于基金资产与高水位线的比值，并分析了外部选择权、终止政策和费率的影响。
I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the manager's outside option value is low, investors' termination policy is strict, or management fees are high, then negative returns induce the manager into “derisking.” Otherwise, he engages in “gambling.” Having the option to walk away increases risk taking, though in many cases exercise is never optimal. In particular, leaving to restart at a proportionally smaller fund is always suboptimal.