Strategic Asset Allocation in Money Management

• 成果类型: Article
• 署名作者: Basak, Suleyman; Makarov, Dmitry
• 署名单位: University of London; London Business School; New Economic School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12106
• 发表日期: 2014
• 页码: 179-217
• 关键词: Risk-taking; cross-section; performance; tournaments; incentives; BEHAVIOR; prices

摘要

This paper analyzes the dynamic portfolio choice implications of strategic interaction among money managers who compete for fund flows. We study such interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium investments. Driven by chasing and contrarian mechanisms when one is well ahead, they gamble in the opposite direction when their performance is close. We also examine multiple and mixed-strategy equilibria. Equilibrium policy of each manager 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.