screen 1

Worcester Polytechnic Institute, USA, Gu Wang, Hedge and mutual funds fees and the separation of private investments

(发布于:2016-05-30 )

主 题:Hedge and mutual funds fees and the separation of private investments

主讲人:Worcester Polytechnic Institute, USA, Gu Wang

主持人:经济数学学院 马敬堂教授

时 间:2016年5月31日(星期二)下午3:00

地 点:柳林校区通博楼B412

主办单位:经济数学学院  科研处 

主讲人简介: Gu Wang received BSc.from Peking University in his Ph.D. in Mathematics from Boston University in 2013 and served as a postdoctoral assistant professor at University of Michigan for two years. He is now an Assistant Professor in Worcester Polytechnic Institute. Dr. Wangs research focuses on Stochastic Control, with applications to finance.

内容提要: A fund manager invests both the funds assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the funds portfolio depends only on the funds investment opportunities, and the private portfolio only on private opportunities. This conclusion is valid both for a hedge fund manager, who is paid performance fees with a high-water mark provision, and for a mutual fund manager, who is paid management fees proportional to the fund's assets. The manager invests earned fees in the safe asset, allocating remaining private wealth in a constant-proportion portfolio, while the fund is managed as another constant-proportion portfolio. The optimal welfare is the maximum between the optimal welfare of each investment opportunity, with no diversification gain. In particular, the manager does not use private investments to hedge future income from fees.