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Relative performance concerns among investment managers

  • Mark WhitmeyerEmail author
Research Article
  • 2 Downloads

Abstract

This paper examines the strategic interaction of n portfolio managers with relative performance concerns. We characterize the unique constant Nash equilibrium and derive some compelling results. Surprisingly, in equilibrium, more risk tolerant players do not generally take riskier positions than less risk tolerant players. We derive sufficient conditions under which this relation does hold. We also examine the effects of adding new players to the game on the equilibrium, and look at the equilibrium in the limiting case as the number of players goes to infinity. We show that for a symmetric population, the equilibrium strategy of the players converges pointwise to some limiting equilibrium policy.

Keywords

Behavioral finance Relative concerns Portfolio choice Continuous-time finance 

JEL Classification

G11 G40 C72 C73 

Notes

References

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of Texas at AustinAustinUSA

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