近日，我院罗德庆博士以第一作者、湖北经济学院为第一机构的论文“Robust leverage decision under locked wealth and high-water mark contract”发表在国际期刊《Finance Research Letters》(SSCI，JCR一区)。该文研究了模糊性对带有锁定财富和高水位对冲基金及基金经理私人财富的投资杠杆的影响。
Abstract：This paper investigates the effects of ambiguity on the optimal fund leverage and the private risk-taking of a hedge fund manager with a high-water mark contract and locked wealth in the fund. We derive a closed-form solution that predicts an increase in ambiguity about the market risk has a U-shaped effect on the optimal fund leverage but a monotonic decreasing effect on the private risk-taking. An increase in ambiguity about the idiosyncratic risk reduces the optimal fund leverage and raises the private risk-taking. According to the simulation, ambiguity erodes the fund wealth and the private wealth of the manager. Consumption-wealth ratio and welfare of the manager are both reduced as ambiguity increases.