| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2009 |
| DP2009 Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities | |
| Michael Rockinger; Eric Jondeau | |
| 发表日期 | 1998-10-31 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | Money management is an activity in which agents are often evaluated on the basis of their relative performance. In this article we consider an oligopolistic market in which some informed fund managers aim at maximizing their relative performance, rather than their absolute performance. First, we define a Relative Performance Equilibrium and derive conditions for the existence of such an equilibrium. Secondly, we analyse equilibrium trading strategies. We show that the relative performance evaluation provides incentives to play overly risky strategies, i.e. in equilibrium, and fund managers choose riskier portfolios than they would do if they were maximizing their absolute performance. One of the positive consequences is a higher level of informational efficiency. |
| 主题 | Financial Economics |
| 关键词 | Absolute performance Overly-risky strategy Relative performance |
| URL | https://cepr.org/publications/dp2009 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531137 |
| 推荐引用方式 GB/T 7714 | Michael Rockinger,Eric Jondeau. DP2009 Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities. 1998. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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