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Strategic Asset Allocation in Money Management
Basak, Suleyman; Makarov, Dmitry - C.E.P.R. Discussion Papers - 2011
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...
Persistent link: https://www.econbiz.de/10009144728
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Strategic Asset Allocation in Money Management
Basak, Suleyman; Makarov, Dmitry - Center for Economic and Financial Research (CEFIR), New … - 2009
, however, when a sufficiently high threshold makes the competition for money flows less intense. The managers’ unique …
Persistent link: https://www.econbiz.de/10008833450
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Competition among Portfolio Managers and Asset Specialization
Basak, Suleyman - 2017
This paper develops a tractable dynamic model of competition between two risk-averse portfolio managers who attempt to … risk due to competition. Contrary to the standard result without competition, a higher risk aversion could well incentivize … more risk taking. We also show that competition can be conducive to asset specialization, and hence under …
Persistent link: https://www.econbiz.de/10012976674
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Difference in interim performance and risk taking with short-sale constraints
Basak, Suleyman; Makarov, Dmitry - In: Journal of Financial Economics 103 (2012) 2, pp. 377-392
Absent much theory, empirical works often rely on the following informal reasoning when looking for evidence of a mutual fund tournament: If there is a tournament, interim winners have incentives to decrease their portfolio volatility as they attempt to protect their lead, while interim losers...
Persistent link: https://www.econbiz.de/10010571680
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Optimal Asset Allocation and Risk Shifting in Money Management
Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2006
Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...
Persistent link: https://www.econbiz.de/10005666676
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Strategic Asset Allocation with Relative Performance Concerns
Basak, Suleyman - 2008
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...
Persistent link: https://www.econbiz.de/10012725258
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Strategic Asset Allocation with Relative Performance Concerns
Basak, Suleyman - 2008
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The strategic interaction is modelled as managers' having relative performance concerns in their objectives, either due to money flows or behavioral considerations. We provide tractable...
Persistent link: https://www.econbiz.de/10012726321
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Strategic Asset Allocation in Money Management
Basak, Suleyman - 2012
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers, arising as they compete for fund flows. We study such interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium investments....
Persistent link: https://www.econbiz.de/10012712477
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Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility
Hanson, Floyd B. - 2011
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...
Persistent link: https://www.econbiz.de/10013123110
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Optimal consumption and investment under relative performance citeria with Epstein-Zin utility
Dianetti, Jodi; Riedel, Frank; Stanza, Lorenzo - 2024
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive explicitly an equilibrium for the finite player and the mean-field version of the game, based on a study of...
Persistent link: https://www.econbiz.de/10014473535