Event Date:
Monday, March 13, 2023 - 3:30pm to 4:30pm
Event Location:
- South Hall 5607F
Related Link:
Research Seminar by Gu Wang, Associate Professor, Department of Mathematical Sciences, Worcester Polytechnic Institute. Prof Wang is currently visiting UCSB for the Winter 2023 quarter.
Title: Performance Fees with Stochastic Benchmark
Abstract: A hedge fund manager invests the fund in a constant investment opportunity, and receives high-water mark fees when the fund reaches a new maximum relative to a stochastic benchmark, aiming to maximize the expected power utility from fees in the long run. The manager's optimal portfolio includes a Merton component with the risk aversion parameter shifted towards one, and a hedging component against the risk in the benchmark, both of which depend on how the fund investment opportunity compares to the benchmark.
February 27, 2023 - 11:19pm