High‐Water Marks: High Risk Appetites? Convex Compensation, Long Horizons, and Portfolio Choice
研究高水位线合同下对冲基金经理的投资组合选择，发现即使风险中性经理也不会无限投资风险资产，而是像CRRA投资者一样配置资金，说明凸性补偿的冒险激励依赖于有限期限与凸性结合。
ABSTRACT We study the portfolio choice of hedge fund managers who are compensated by high‐water mark contracts. We find that even risk‐neutral managers do not place unbounded weights on risky assets, despite option‐like contracts. Instead, they place a constant fraction of funds in a mean‐variance efficient portfolio and the rest in the riskless asset, acting as would constant relative risk aversion (CRRA) investors. This result is a direct consequence of the in(de)finite horizon of the contract. We show that the risk‐seeking incentives of option‐like contracts rely on combining finite horizons and convex compensation schemes rather than on convexity alone.