Valuation of Mutual Fund Contracts1


We provide a theoretical model and a closed form formula for the value of fund fees in the presence of the well known flow-performance relation, giving rise to interesting nonlinearities and volatility-related effects. The theoretical model sheds light on the role of fees, asset growth, asset and benchmark volatility, and the intensity of the flow… (More)


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@inproceedings{Boudoukh2003ValuationOM, title={Valuation of Mutual Fund Contracts1}, author={Jacob Boudoukh and Matthew P. Richardson and Richard Stanton and Robert F. Whitelaw and Francis A. Longstaff and Jennifer N. Carpenter}, year={2003} }