Tesi etd-11152018-160929
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Tipo di tesi
Corsi integrativi di II livello
Autore
MACCI, GABRIELE
URN
etd-11152018-160929
Titolo
Why do bad hedge-fund managers survive?
Struttura
Cl. Sc. Sociali - Scienze Economiche
Corso di studi
SCIENZE ECONOMICHE E MANAGERIALI - Economics (DM 270)
Commissione
relatore Prof. BOTTAZZI, GIULIO
Presidente Prof. NUVOLARI, ALESSANDRO
Membro Prof. CINQUINI, LINO
Membro Prof. MONETA, ALESSIO
Membro Prof. PICCALUGA, ANDREA MARIO CUORE
Presidente Prof. NUVOLARI, ALESSANDRO
Membro Prof. CINQUINI, LINO
Membro Prof. MONETA, ALESSIO
Membro Prof. PICCALUGA, ANDREA MARIO CUORE
Parole chiave
- Nessuna parola chiave trovata
Data inizio appello
12/12/2018;
Disponibilità
completa
Riassunto analitico
The relationship between the performance of a hedge fund and the quality of its portfolio managers is hardly simple or easy to judge; in other words, it is not easy to distinguish between “bad” and “good” managers. One common belief is that judging the quality of a fund manager is easier when the financial market environment is positive and stable than when it is negative and volatile. Contrary to this belief, preliminary observation of empirical data shows that the distribution of fund performance and the ratio between “good” and “bad” managers stay relatively stable with time, even when the market conditions change substantially. This paper, after describing the empirical data, introduces a model attempting to interpret the observed invariance. The adopted model is based on a modified principal agent scheme where each manager is an agent and each fund investor is a principal. The developed model, which takes into account the different levels of turnover present in bull and bear periods, justifies the invariance between “good” and “bad” managers.
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