We propose a theoretical model where mutual funds compete for investors and investors, in turn, can hold portfolios of mutual fund shares. Many equilibria are possible. With investor limited liability and a refinement requiring robustness to joint deviations, a focal equilibrium survives. We test the emergence of such a focal equilibrium in a large scale experiment and find strong suggestive evidence in its favor.

Competition in portfolio management: theory and experiment

MELOSO, DEBRAH
2015

Abstract

We propose a theoretical model where mutual funds compete for investors and investors, in turn, can hold portfolios of mutual fund shares. Many equilibria are possible. With investor limited liability and a refinement requiring robustness to joint deviations, a focal equilibrium survives. We test the emergence of such a focal equilibrium in a large scale experiment and find strong suggestive evidence in its favor.
2015
Elena, Asparouhova; Peter, Bossaerts; Jernej, Copic; Brad, Cornell; Jaksa, Cvitanic; Meloso, Debrah
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3857303
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