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Performance fees and hedge fund return dynamics

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDarolles, Serge*
hal.structure.identifier
dc.contributor.authorGouriéroux, Christian*
dc.date.accessioned2015-04-07T10:52:11Z
dc.date.available2015-04-07T10:52:11Z
dc.date.issued2015-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14875
dc.language.isoenen
dc.subjectHedge fundsen
dc.subjectPerformance feesen
dc.subjectManager incentiveen
dc.subjectRisk appetiteen
dc.subjectHigh water marken
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G2.G23en
dc.subject.classificationjelG.G2.G24en
dc.titlePerformance fees and hedge fund return dynamicsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversity of Toronto;Canada
dc.description.abstractenA characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors and an account for the management firm, respectively. Despite lack of transparency in hedge fund market, the strategy of performance allocation is publicly available. This paper shows that, for the High-Water Mark Scheme, these complex performance allocation strategies might explain empirical facts observed in hedge fund returns, such as return persistence, skewed return distribution, bias ratio, or implied increasing risk appetite.en
dc.relation.isversionofjnlnameInternational Journal of Approximate Reasoning
dc.relation.isversionofjnlvol65en
dc.relation.isversionofjnldate2015-03
dc.relation.isversionofjnlpages45-58en
dc.relation.isversionofdoi10.1016/j.ijar.2015.03.006en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.identifierhal-01632880*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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