Agenda Académica
Seminario académico de Finanzas y Contabilidad

Fecha: 26 de abril, 13:00 horas, sala P301, Facultad de Economía y Negocios


Título: Hedge Fund Fee Structure and Risk Exposure: Theory and Empirical Evidence

Exponen:
Hervé Roche, profesor Asociado de la Universidad Adolfo Ibáñez

Abstract
We solve in closed form the optimal investment strategy of an infinitely lived risk neutral hedge fund manager compensated by a management fee and a high water mark (HWM) contract. The fraction of asset under management (AUM) allocated in equity is a convex increasing function of the distance to the HWM as moving away from the HWM is increasingly bad news both for management and incentive fees. This convexity e ect is enhanced by the size of the incentive fee rate. The higher the management fee rate, the larger the risk exposure, as the revenue insurance e ect gets magnified. Frequently beating by a small amount the HWM is optimal as it mitigates the ratchet feature of the HWM. Data seem to support the theoretical predictions of the model: returns' volatility is strongly related to distance to the HWM: being 20% underwater is associated with an increase of 192 bps increase in the ex-post returns' volatility. Also consistent, the time elapsed between hits and the extent to which the fund surpasses the HWM both increase with
distance to the HWM. An extension shows that a fund termination threat reduces risk taking behavior as the fund drifts away from the HWM, which is consistent with our empirical findings.

 
Conferencia NIIF 16: arrendamientos claves para su primera aplicación y transición

Fecha: 26 de abril, 18:30 horas, sala P308, Facultad de Economía y Negocios


Título: Conferencia NIIF 16: arrendamientos claves para su primera aplicación y transición

Exponen:
Leonardo Torres, académico Departamento de Control de Gestión y Sistemas de Información

 
Ceremonia de titulación UEjecutivos

Fecha: 27 de abril, 19:00 horas, Aula Magna, Facultad de Economía y Negocios


 

 

 
Ciclo de Charlas 2018: Actualidad, Contingencia & Gestión Empresarial

Fecha: 17 de abril, 18:30 horas, Aula Magna, Facultad de Economía y Negocios


Título: Reforma Laboral: Puesta en marcha, negociaciones sindicales

Exponen:
- Joseph Ramos, Bachelor of Science en Ingeniería Eléctrica, doctor en Economía, Universidad de Columbia.
- Christian Melis, abogado de la Universidad de Chile, LL.M. Universidad Complutense de Madrid, ex director del Trabajo del gobierno de la ex presidenta, Michelle Bachelet, 2014-2018.

 
Programas corporativos Uejecutivos

Fecha: 19 de abril, 8:30 horas, sede Andrés Bello, Providencia


Inicio programa diplomado de Mercado Eléctrico de Enel

 
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