Научный семинар Дмитрия Макарова (РЭШ): "Competition among Portfolio Managers: Equilibrium Policies, Cost-Benefit Implications, and Financial Innovation"

В четверг, 18 февраля  состоялся научный семинар Международного института экономики и финансов.
Докладчик: Дмитрий Макаров (РЭШ)
Тема доклада: Competition among Portfolio Managers: Equilibrium Policies, Cost-Benefit Implications, and Financial Innovation (совместно с Сулейманом Басаком)

 

 

Краткий обзор: This paper investigates the competition among portfolio managers arising as the managers attempt to outperform each other. We provide a tractable dynamic continuous-time model where strategic interactions take place between two risk-averse managers concerned about relative performance. To capture managers’ asset specialization, we consider two imperfectly correlated risky stocks and postulate that each manager specializes 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 both managers take on more risk due to competition. Moreover, a higher own risk aversion may induce a manager to increase her risk taking when the opponent is relatively more advantaged in that she specializes in the stock with the relatively higher Sharpe ratio. A cost-benefit analysis reveals that the advantaged manager benefits from competition, while the less advantaged is harmed. When neither manager has a sizeable advantage, competition can be either detrimental or beneficial. We find that financial innovation leading to complete markets typically harms an advantaged manager, while always benefiting the less advantaged. The advantaged manager may, however, benefit from market completion when the stocks are highly correlated. Moreover, when neither strategic manager has a considerable advantage and the stocks are highly correlated, both managers may well suffer from market completion.

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