Mutual Fund Competition in the Presence ofDynamic Flows

This paper analyzes competition between mutual funds in a multiple fundsversion of the model of Hugonnier and Kaniel [18]. We characterize the setof equilibria for this delegated portfolio management game and show thatthere exists a unique Pareto optimal equilibrium. The main result of thispaper shows that the funds cannot differentiate themselves through portfoliochoice in the sense that they should offer the same risk/return tradeoff inequilibrium.

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Year of publication:	2008-09-01
Authors:	Breton, Michèle ; Hugonnier, Julien ; Masmoudi, Tarek
Institutions:	Finrisk
Subject:	Fonds \| Portfoliomanagement \| portfolio management \| Stochastische dynamische Optimierung \| stochastic differential game

1 Introduction
2 The economic setting
2.1 Securities
2.2 Mutual funds
3 Agents
3.1 The investor
3.2 The fund managers
4 The game setting
5 Optimal strategies
5.1 The investor’s reaction function
5.2 The managers’ best responses
6 Equilibrium
7 Conclusion
Appendix
References

Persistent link: https://www.econbiz.de/10005868918