Mutual fund competition in the presence of dynamic flows

被引：7

作者：

Breton, Michele ^{[1
]}

Hugonnier, Julien ^{[2
]}

Masmoudi, Tarek ^{[3
]}

机构：

[1] GERAD & HEC Montreal, CREF, Montreal, PQ, Canada

[2] Ecole Polytech Fed Lausanne, Swiss Finance Inst, CH-1015 Lausanne, Switzerland

[3] Caisse Depot & Placement Quebec, Montreal, PQ, Canada

来源：

AUTOMATICA | 2010年 / 46卷 / 07期

关键词：

Portfolio management; Asset-based management fees; Mutual funds; Dynamic flows; Stochastic differential game; RISK; PERFORMANCE; MANAGEMENT; CONTRACTS;

D O I：

10.1016/j.automatica.2010.04.006

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel (2010). We characterize the set of equilibria for this portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper shows that the funds cannot differentiate themselves through portfolio choice in the sense that they should offer the same risk/return tradeoff in equilibrium. This result brings theoretical support to the findings of recent empirical studies on the importance of media coverage and marketing in the mutual funds industry. (C) 2010 Elsevier Ltd. All rights reserved.

引用

页码：1176 / 1185

页数：10