| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8457 |
| 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 |
| URL | https://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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