dc.contributor.advisor | Belsom, Einar | nb_NO |
dc.contributor.author | Asheim, Frederic André | nb_NO |
dc.date.accessioned | 2014-12-19T14:30:50Z | |
dc.date.available | 2014-12-19T14:30:50Z | |
dc.date.created | 2014-08-30 | nb_NO |
dc.date.issued | 2014 | nb_NO |
dc.identifier | 742107 | nb_NO |
dc.identifier | ntnudaim:11016 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/266769 | |
dc.description.abstract | This thesis investigates the dynamically optimal risk-taking by a loss-averse hedge fund manager who also takes the possibility of fund liquidation into account. To achieve this, a custom version of the Prospect Theory utility-function is deployed. Furthermore, the effects yielded by different variations of the standard hedge fund contract on managerial incentives are examined. With a single-period horizon, the manager portrays complex risk-taking that varies considerably with fund value and time. In some regions of the state space, the manager pursues excessively high risk-levels relative to those a loss-averse investor. The incentive fee option is found to be the main source of the resulting conflict of interest between manager and investor. Conversely, managerial fund share is identified as a powerful tool of interest alignment. I also extend the manager's horizon to stretch over multiple evaluation periods, and find that overall managerial risk-taking is a decreasing function of the horizon. Finally, the cost of hedge fund investing is assessed, with particular focus attributed to incentive fees. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Institutt for industriell økonomi og teknologiledelse | nb_NO |
dc.title | Hedge Fund Manager-Investor Conflicts of Interest: A Numerical Analysis with Loss-Aversion | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 61 | nb_NO |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for industriell økonomi og teknologiledelse | nb_NO |