High-Water Marks: High Risk Appetites? Convex Compensation, Long Horizons, and Portfolio Choice

By Stavros Panageas, Mark M. Westerfield. 2009

231 citations recorded by the source corpus.

Subfields: Accounting, Environmental Engineering, Water Science and Technology

View Paper: https://www.semanticscholar.org/paper/8696d5a42297252d74aad4e481c84687d083f025

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Turan G. Bali
2. M. O. Caglayan
3. Stephen J. Brown
4. Lukasz Delong

In Environmental Engineering

1. Lukasz Delong

In Water Science and Technology

1. Lukasz Delong

Citations in the corpus

• Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, result): “We estimate the survivorship bias (the average annual return difference between Tremont funds and TASS Pre-Tremont funds) that results from TASS/Tremont merger to be quite high 4.98% during the period 1994 – 2001, similar to Aggarwal and Jorion’s 5.23% estimate during the same time period.”
• Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “tive of long term growth and infinite horizon utility consumption maximization. The optimal composition of a hedge fund, which maximizes the expected value of collected performance fees, is derived in Panageas and Westerfield (2009). These papers are conceptually related to our but their motivation an”
• Calibrated Incentive Contracts (2013, unknown): “(2003) who develop an optionpricing approach to high-water mark contracts, or Panageas and Westerfield (2009) who show in a specific context that high-water mark contracts need not lead to excessive risk-taking.”