The Economics of Asset Management

Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; Whitelaw, Robert F.

doi:10.2139/ssrn.687354

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The Modified Volcker Rule1

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“…In the case of managing alternative investment funds, the LCFI income generated from running these funds represents a proportion of its assets under management (AUM). The value of managing such funds is equivalent to a contingent claim on the underlying assets (see Boudoukh, Richardson, Stanton, and Whitelaw 2005). Such values therefore inherit the respective risk-return characteristics of the AUM.…”

Section: The Modified Volcker Rulementioning

confidence: 99%