Competition among Portfolio Managers and Asset Specialization
Competition among Portfolio Managers and Asset Specialization
复制标题
DOI：
10.2139/ssrn.1563567
复制
发表时间：
2015-09
期刊：
影响因子：
--
通讯作者：
Suleyman Basak;Dmitry Makarov
中科院分区：
文献类型：
--
作者：
Suleyman Basak;Dmitry Makarov
本文研究了投资组合经理之间的竞争，因为他们试图超越对方。我们提供了一个易处理的动态连续时间模型之间的竞争风险厌恶的管理者关心的相对业绩。为了捕捉经理人的资产专业化，我们考虑两个不完全相关的风险股票，每个经理人在其中一只股票的交易，因此面临着不完全的市场。我们证明了一个唯一的纯策略纳什均衡总是获得，并提供了随后的均衡投资组合政策明确。我们发现，竞争使得相对风险容忍的经理人的投资组合风险降低，而风险不容忍的经理人的投资组合风险增加。此外，较高的自身风险厌恶感会导致经理在对手处于劣势时承担更多的风险，因为她专注于夏普比率相对较高的股票。然后，我们探讨我们的两个关键因素，竞争和资产专业化之间的联系，并表明，竞争可以有利于资产专业化。特别是，我们发现，这两个经理人，相对风险承受能力，可以自愿选择资产专业化和相应的损失的多样化，以避免竞争在同一个地盘上交易的同一套股票。然而，当他们不容忍风险时，无专业化的情况更有可能发生。当我们考虑一位经理的客户投资者时，我们发现，她对资产专业化的偏好或反对资产专业化的偏好很可能与她的经理相反。我们还研究了客户投资者的潜在成本，因为管理人员的更替或股票特征的变化使客户经理的政策不一致。我们发现，当她的经理被替换时，客户的损失比其他经理更大。相比之下，客户的损失是相同的，因为她的经理的股票特征的变化，因为竞争对手的经理的股票。
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, we consider two imperfectly correlated risky stocks whereby each manager trades in one of the stocks, and so faces incomplete markets. We show that a unique pure-strategy Nash equilibrium always obtains, and provide the ensuing equilibrium portfolio policies explicitly. We find that competition makes a relatively risk tolerant manager decrease, and a risk intolerant increase, her portfolio risk. Moreover, a higher own risk aversion induces a manager to take more risk when the opponent is advantaged, in that she specializes in the stock with the relatively higher Sharpe ratio. We then explore the link between our two key ingredients, competition and asset specialization, and show that competition can be conducive to asset specialization. In particular, we find that both managers, when relatively risk tolerant, can voluntarily opt for asset specialization and the corresponding loss of diversification to avoid competing on the same turf by trading in the same set of stocks. When they are risk intolerant, however, the no-specialization scenario is more likely. When we consider a client investor of a manager, we show that her preferences for or against asset specialization could well be the opposite to that of her manager. We also examine the potential costs to a client investor, arising as managerial turnover or changing stock characteristics misaligns the client manager’s policy. We find that the client loses more when it is her manager who is replaced than the other manager. In contrast, the client’s losses are the same for a given change in her manager’s stock characteristics as for that in the competitor manager’s stock.