Strategic asset allocation in money management

Basak, S and Makarov, D (2014) Strategic asset allocation in money management. Journal of Finance, 69 (1). pp. 179-217. ISSN 0022-1082

Abstract

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.

More Details

[error in script]
Item Type: Article
Subject Areas: Finance
Additional Information:

© 2013 the American Finance Association

Date Deposited: 02 Mar 2016 18:51
Last Modified: 28 Mar 2024 03:03
URI: https://lbsresearch.london.edu/id/eprint/141
[error in script] More

Export and Share


Download

Full text not available from this repository.

Statistics

Altmetrics
View details on Dimensions' website

Downloads from LBS Research Online

View details

Actions (login required)

Edit Item Edit Item