Sciweavers

Share
AUTOMATICA
2010

Mutual fund competition in the presence of dynamic flows

9 years 12 months ago
Mutual fund competition in the presence of dynamic flows
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [17]. We characterize the set of equilibria for this portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper shows that the funds cannot differentiate themselves through portfolio choice in the sense that they should offer the same risk/return tradeoff in equilibrium. This result brings theoretical support to the findings of recent empirical studies on the importance of media coverage and marketing in the mutual funds industry.
Michèle Breton, Julien Hugonnier, Tarek Mas
Added 01 Feb 2011
Updated 01 Feb 2011
Type Journal
Year 2010
Where AUTOMATICA
Authors Michèle Breton, Julien Hugonnier, Tarek Masmoudi
Comments (0)
books