{"258901":{"#nid":"258901","#data":{"type":"event","title":"Faculty Candidate Seminar","body":[{"value":"\u003Cp\u003ETITLE:\u0026nbsp; Money Management with Performance Fees\u003C\/p\u003E\u003Cp\u003ESPEAKER:\u0026nbsp; Daniel Mitchell\u003C\/p\u003E\u003Cp\u003EABSTRACT:\u003C\/p\u003E\u003Cp\u003EHedge fund contracts are generally characterized by a flat fee, a performance fee and what are\u003Cbr \/\u003E know as high-water-mark provisions. This paper describes and characterizes these contract \u003Cbr \/\u003Efeatures and analyzes how they influence the hedge fund\u0027s risk choices. We model the hedge \u003Cbr \/\u003Efund\u0027s portfolio choice as a stochastic control problem with hybrid discrete and continuous controls. We develop a computational method to solve this class of problems and prove its convergence.\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"Faculty Candidate Seminar"}],"uid":"27187","created_gmt":"2013-12-05 09:16:05","changed_gmt":"2016-10-08 02:05:57","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2013-12-10T10:00:00-05:00","event_time_end":"2013-12-10T11:00:00-05:00","event_time_end_last":"2013-12-10T11:00:00-05:00","gmt_time_start":"2013-12-10 15:00:00","gmt_time_end":"2013-12-10 16:00:00","gmt_time_end_last":"2013-12-10 16:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[{"id":"78761","name":"Faculty\/Staff"}],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cp\u003EJennifer Harris\u003C\/p\u003E\u003Cp\u003E\u003Ca href=\u0022mailto:jharris@isye.gatech.edu\u0022\u003Ejharris@isye.gatech.edu\u003C\/a\u003E\u003C\/p\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}