Performance fees and hedge fund return dynamics

DOI10.1016/J.IJAR.2015.03.006MaRDI QIDQ897751zbMATH OpenOpenAlexFDO

Authors Serge Darolles, Christian Gouriéroux

Publication date 7 December 2015

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2015.03.006

zbMATH Keywords

hedge fundshigh water markmanager incentiveperformance feesrisk appetite

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

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Cites work

• Strict stationarity of generalized autoregressive processes
• Threshold models in non-linear time series analysis

Cited in

(15)

• HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
• Private equity fund returns and performance persistence
• PROFIT SHARING IN HEDGE FUNDS
• Allocation skew: managers with conviction
• Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry*
• The incentives of hedge fund fees and high-water marks
• Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk
• Gaming Performance Fees By Portfolio Managers
• Hedge fund alpha. A framework for generating and understanding investment performance.
• Hedge funds trading strategies and leverage
• The dynamics of hedge fund performance
• The option CAPM and the performance of hedge funds
• Opacity, stale pricing, extreme bounds analysis, and hedge fund performance: making sense of reported hedge fund returns
• Nonparametric assessment of hedge fund performance
• Analysis of the optimal time to withdraw investments from hedge funds with alternative fee structures

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