Cargando…
Robust risk choice under high-water mark contract
By assuming that a risk-neutral hedge fund manager has ambiguous beliefs about the return process of risky asset, we study his robust risk choice under the high-water mark. The results show that without management fees, ambiguity aversion induces the manager to take more risk as the fund is close to...
| Autores principales: | , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2023
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10066003/ http://dx.doi.org/10.1007/s11156-023-01152-5 |