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• W2738592904 abstract "A hedge fund manager receives high-water mark fees when the fund's relative return over a stochastic benchmark reaches a new maximum, and investments the fund in a constant investment opportunity, aiming to maximize the expected utility from fees in the long run. The manager chooses a Merton portfolio, like an investor who owns the fund if the Sharpe ratio $nu$ of the fund investment opportunity is low. As $nu$ increases and exceeds an endogenous threshold $underline nu$, the manager's effective risk aversion is shifted towards one, and the hedging component against the benchmark emerges and becomes larger, until it reaches the maximum if $nu = bar nu > underline nu$, and keeps constant for $nu >bar{nu}$. A stochastic benchmark in high-water mark fees introduces the moral hazard of risky fund investment with hedging motives, but also provides a possibility of regulating the manager's risk taking with a carefully chosen benchmark. Furthermore, the resulting optimal strategy confirms the empirical results that fund performance does not necessarily increase with the rate of performance fees." @default.
• W2738592904 created "2017-07-31" @default.
• W2738592904 creator A5088041819 @default.
• W2738592904 date "2017-01-01" @default.
• W2738592904 modified "2023-09-27" @default.
• W2738592904 title "High-Water Mark Fees with Stochastic Benchmark" @default.
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• W2738592904 doi "https://doi.org/10.2139/ssrn.3001937" @default.
• W2738592904 hasPublicationYear "2017" @default.
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