We study the effects of hedge fund manager’s ambiguity aversion for jump and diffusion risks on the leverage policy under a high-water mark contract. We find that the jump risk has an inverted U-shaped effect on the leverage choice, which can be explained by the variance effect and skewness effect. Our result also indicates that diffusion ambiguity aversion has a larger negative impact on leverage than jump ambiguity aversion. Manager’s ambiguity aversion in jump risk amplifies the skewness effect when the price jump is positive. Our findings provide some insights into the risk taking strategy of hedge fund under ambiguity.

中文翻译：

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罕见灾难下对冲基金的稳健杠杆选择


我们研究了对冲基金经理对跳跃风险和扩散风险的模糊厌恶对高水位合约下杠杆政策的影响。我们发现跳跃风险对杠杆选择具有倒U型效应，这可以通过方差效应和偏度效应来解释。我们的结果还表明，扩散模糊厌恶对杠杆率的负面影响比跳跃模糊厌恶更大。当价格上涨为正值时，管理者对上涨风险的模糊厌恶会放大偏度效应。我们的研究结果为对冲基金在模糊条件下的风险承担策略提供了一些见解。