基金经理互动与贝叶斯模型

IF 0.3 Q4 MANAGEMENT

International Journal of Applied Management Science Pub Date : 2020-04-02 DOI:10.1504/ijams.2020.10028150

Wei W. Simi, Xiaoli Wang

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引用次数: 0

摘要

投资组合经理的基本动机是追求在同行中相对出色的投资组合业绩，以便从投资资金流入中获得回报。这种争夺资金流入的竞争，已成为基金经理之间的动态游戏。基于此，本文提出了一种考虑不完全信息动态情况下投资组合经理间战略互动的资产配置方法。具体而言，我们扩展了Basak和Makarov(2012)的方法，使用贝叶斯(纳什)均衡框架考虑了投资组合经理在不完全信息情况下进行战略性资产配置决策的情况。

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Money managers' interactions and Bayesian model

The essential incentives for investment portfolio managers are pursing relative outstanding portfolio performance among their peers in order to be rewarded for investment fund inflows. This competition for fund inflows has becomes dynamic games among money managers. This paper accordingly proposes a new strategic asset allocation methodology by considering strategic interactions among portfolio managers with the dynamic consideration of incomplete information. To be specific, we extended the approach of Basak and Makarov (2012) by considering the case that portfolio managers make strategic asset allocation decisions under the situation of incomplete information using the framework of Bayesian (Nash) equilibrium.

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来源期刊

International Journal of Applied Management Science Business, Management and Accounting-Strategy and Management

CiteScore

1.20

自引率

0.00%

发文量