G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8457
DP8457 Strategic Asset Allocation in Money Management
Suleyman Basak; Dmitry Makarov
发表日期2011-06-01
出版年2011
语种英语
摘要Money managers behave strategically when competing for fund flows within relatively small groups. We study strategic interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium dynamic investments. Driven by chasing and contrarian mechanisms when one is well ahead, they gamble in the opposite direction when their performances are close. We also discuss multiple and mixed-strategy equilibria. Equilibrium policy of each crucially depends on the opponent?s risk attitude. Hence, client investors, concerned about how a strategic manager may trade on their behalf, should also learn competitors? characteristics--as against non-strategic settings, where knowing a manager?s own characteristics suffices to determine behavior.
主题Financial Economics
关键词Money managers Strategic interactions Portfolio choice Relative performance Incentives Risk shifting Fund flows Tournaments
URLhttps://cepr.org/publications/dp8457
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/537285
推荐引用方式
GB/T 7714
Suleyman Basak,Dmitry Makarov. DP8457 Strategic Asset Allocation in Money Management. 2011.
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