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The Investment Advisors Act of 1940 (as amended in 1970) prohibits mutual funds in the US from offering their advisers asymmetric incentive fee' contracts in which the advisers are rewarded for superior performance via-a-vis a chosen index but are not correspondingly penalized for...
Persistent link: https://www.econbiz.de/10005775259
This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features. The computer implementation uses a recursive scheme that is convenient...
Persistent link: https://www.econbiz.de/10005777655
This review paper describes basic auction concepts, and provides a summary of the theory in this area, particularly as it relates to Treasury auctions.
Persistent link: https://www.econbiz.de/10005829251
We offer an alternative framework for the analysis of mutual funds and use it to examine the rationale behind existing regulations that require mutual fund advisor fees to be of the fulcrum' variety. We find little justification for the regulations. Indeed, we find that asymmetric incentive...
Persistent link: https://www.econbiz.de/10005829914
This paper develops a framework for modelling risky debt and valuing credit derivatives that is flexible
Persistent link: https://www.econbiz.de/10005661413
The Investment Advisers Act of 1940 (as amended in 1970) prohibits mutual funds in the US from offering their advisers asymmetric "incentive fee" contracts in which the advises are rewarded for superior performance via-a-vis a chosen index but are not correspondingly penalized for underforming...
Persistent link: https://www.econbiz.de/10005663486
Existing regulations require fee structures used to compensate advisers in the mutual fund industry to be the "fulcrum" variety, decreasing for underperforming a given index in the same way in which they increase for outperforming it. In this paper, we offer a new model for analysing the mutual...
Persistent link: https://www.econbiz.de/10005663522
The fee structure used to compensate investment advisers is central to the study of fund design, and affects investor welfare in at least three ways: (i) by influencing the portfolio-selection incentives of the adviser, (ii) by affecting risk-sharing between adviser and investor, and (iii)...
Persistent link: https://www.econbiz.de/10005743893
An extensive empirical literature in finance has documented not only the presence of anomalies in the Black-Scholes model, but also the term structures of these anomalies (for instance, the behavior of the volatility smile or of unconditional returns at different maturities). Theoretical efforts...
Persistent link: https://www.econbiz.de/10005139124
This paper develops a framework for modelling risky debt and valuing credit derivatives that is flexible and simple to implement, and that is, to the maximum extent possible, based on observables. Our approach is based on expanding the Heath-Jarrow-Morton term-structure model to allow for...
Persistent link: https://www.econbiz.de/10009191287