Jan Obloj
Bio sketch: I am a University Research Lecturer at the Mathematical Institute and a member of the Oxford-Man Institute of Quantitative Finance. Before coming to Oxford I was a Marie Curie Post-Doctoral Fellow at Imperial College London. I hold a PhD degree in mathematics from University Paris VI and Warsaw University.
I’ve been focusing recently on a robust approach to Mathematical Finance, which does not start with an a priori model but rather with the information available in the markets. My general interest is in Mathematical Finance and its interplay with Probability Theory and I look at a number of different problems where tools from martingale theory and stochastic analysis can be applied. Examples include: market completion using options, volatility derivatives and extrapolation of implied volatility surface, portfolio optimisation under pathwise constraints and hedge-funds managers’ incentive schemes.
Abstract: Hedge fund managers receive performance fees proportional to their funds’ profits, plus regular fees proportional to assets. Managers with constant relative risk aversion, constant investment opportunities, maximizing utility of fees at long horizons, choose constant Merton portfolios. The effective risk aversion depends on the performance fees which shrink the true risk aversion towards one. Thus, performance fees have ambiguous risk-shifting implications, depending on managers’ own risk aversion. Further, managers behave alike investors acting on their own behalf but facing drawdown constraints. A Stackelberg equilibrium between investors and managers trades off costs of performance fees with their potential to align preferences. Only aggressive investors voluntarily pay high performance fees, and only if managers are even more aggressive.
The current seminar list can be found on the Finance Group seminar web page