This paper characterizes the optimal risk-taking strategies of mutual fund managers competing in multi-period winner-take-all tournaments. With competition among mutual funds, every fund begins by taking maximum risk. In the final period, all funds continue to take maximum risk except possibly...

An innovative guide that identifies what distinguishes the best financial risk takers from the rest From 1987 to 1992, a small group of Wall Street quants invented an entirely new way of managing risk to maximize success: risk management for risk-takers. This is the secret that lets tiny...

Intro -- Contents -- Preface -- 1. Introduction -- 2. Reputation and Trust -- 3. Reputation and Good Public Governance -- 4. Entities, Roles, and Functions of Reputation-Based Governance -- 5. Computing Measures of Reputation -- 6. The Production of Statistical Information and the Analysis of...

We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time-inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium strategy. Under an...