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High-Water Marks: High Risk Appetites? Convex Compensation, Long Horizons, and Portfolio Choice
16 references·1 citing·42 second hop
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References

  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1997Risk Taking by Mutual Funds as a Response to Incentives2,295 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1995Risk Taking by Mutual Funds as a Response to Incentives1,582 cited
  • 1997Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds1,262 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 2000Does Option Compensation Increase Managerial Risk Appetite?926 cited
  • 1998Stochastic Differential Equations714 cited
  • 2004Compensation, Incentives, and the Duality of Risk Aversion and Riskiness654 cited
  • 2003High‐Water Marks and Hedge Fund Management Contracts595 cited
  • 1998Randomization and the American Put404 cited
  • 1999A primer on hedge funds354 cited
  • 2011Equilibrium prices in the presence of delegated portfolio management308 cited
  • 2007Incentive Contracts and Hedge Fund Management

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211 cited

Cited by

  • 2010On the Dynamics of Hedge Fund Risk Exposures30 cited