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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
This paper investigates the competition among portfolio managers as they attempt to outperform each other. We provide a tractable dynamic continuous-time model of competition between two risk-averse managers concerned about relative performance. To capture the managers’ asset specialization,...
Persistent link: https://www.econbiz.de/10010664038
In this paper, which is a continuation of the discrete time paper, we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game theoretic...
Persistent link: https://www.econbiz.de/10012999700
In this paper, which is a continuation of a previously published discrete time paper, we study a class of continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a...
Persistent link: https://www.econbiz.de/10012966786
This paper develops a framework to study general equilibrium implications for an economy in which agents are allowed to have dynamically inconsistent time and risk preferences. This framework accommodates, but is not limited to, the following settings: (1) non-exponential discounting; (2)...
Persistent link: https://www.econbiz.de/10012980965
We study a continuous-time model of consumption and portfolio selection with limited commitment in a stochastic environment. The credit constraints of a household are determined endogenously in the credit market where creditors know that the household is not committed to payment of debt. By...
Persistent link: https://www.econbiz.de/10012904475
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting...
Persistent link: https://www.econbiz.de/10013221468
In this paper we analyze a stochastic continuous time model in finite horizon in which the agent discounts the instantaneous utility function and the final function at constant but different instantaneous discount rates of time preference. Within this context we can model problems in which, when...
Persistent link: https://www.econbiz.de/10013113639
The Kelly criterion is a money management principle that beats any other approach in many respects. In particular, it maximizes the expected growth rate and the median of the terminal wealth. However, until recently application of the Kelly criterion to multivariate portfolios has seen little...
Persistent link: https://www.econbiz.de/10013064036
As shown in a companion paper (Balter et al., Solving Maxmin Optimization Problems via Population Games, SSRN 4264811), solutions of a certain class of maxmin optimization problems can be found from symmetric Nash equilibria of related population games. In this paper we give sufficient...
Persistent link: https://www.econbiz.de/10014235566