[Vid-stund] "Strategic Mutual Fund Tournaments" Neal Stoughton á málstofu í Hagfræðideild föstudaginn 16. september kl. 11:00

[Bjargey Anna Guðbrandsdóttir]

Neal Stoughton á málstofu í Hagfræðideild:
Strategic Mutual Fund Tournaments
This paper characterizes the optimal strategies of mutual fund managers 
competing in a multi-period winner-take-all tournament. In the final 
period all managers maximize the amount of risk that they add to their 
portfolios with the exception of the leading fund. This fund locks in its 
advantage by reducing risk only if it has a sufficiently large lead. 
Empirically, we find that consistent with the theory, funds with larger 
leads decrease risk; however trailing funds do not increase risks. These 
results are robust to using different ways of controlling for systematic 
risk exposures.
Neal Stoughton er prófessor við Wirtschaftsuniversität í Vín 

Staður og stund:
Oddi
Fundarherbergi 3. hæð
Föstudaginn 16. sept kl. 11:00
-------------- next part --------------
An HTML attachment was scrubbed...
URL: http://listar.hi.is/pipermail/vid-stund/attachments/20110913/94d9b8fc/attachment-0001.html 
-------------- next part --------------
A non-text attachment was scrubbed...
Name: not available
Type: image/jpeg
Size: 141046 bytes
Desc: not available
Url : http://listar.hi.is/pipermail/vid-stund/attachments/20110913/94d9b8fc/attachment-0001.jpe