Competition in Portfolio Management: Theory and Experiment

• 成果类型: Article
• 署名作者: Asparouhova, Elena; Bossaerts, Peter; Copic, Jernej; Cornell, Brad; Cvitanic, Jaksa; Meloso, Debrah
• 署名单位: Utah System of Higher Education; University of Utah; University of California System; University of California Los Angeles; California Institute of Technology; Bocconi University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1935
• 发表日期: 2015
• 页码: 1868-1888
• 关键词: delegated portfolio management; asset pricing theory; experimental finance

摘要

We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor-manager relationship is nonexclusive. Our theory predicts that competition forces managers to promise portfolios that mimic Arrow-Debreu (AD) securities, which investors then combine to fit their preferences. A weak version of the capital asset pricing model (CAPM) obtains, where state prices (relative to state probabilities) implicit in prices of traded securities will be inversely ranked to aggregate wealth across states. Our experiment broadly corroborates the price and choice predictions of the theory. However, price quality deteriorates when only a few managers attract most of the available wealth. Wealth concentration increases because funds flow toward managers who offer portfolios closer to replicating AD securities (as in the theory), but also because funds flow to managers who had better performance in the immediate past (an observation unrelated to the theory).