This paper analyzes the general equilibrium implications of performance fees linking the compensation of fund managers to the return of the managed portfolio relative to that of a benchmark portfolio. We find that symmetric ("fulcrum") performance fees distort the allocation of managed...

This paper proposes a first-order zero-drift GARCH (ZD-GARCH(1, 1)) model to study conditional heteroscedasticity and heteroscedasticity together. Unlike the classical GARCH model, ZD-GARCH(1, 1) model is always non-stationary regardless of the sign of the Lyapunov exponent $\gamma_{0}$ , but...