Basak, Suleyman; Makarov, Dmitry - Center for Economic and Financial Research (CEFIR), New … - 2009
This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers. The … strategic interaction emerges as the managers compete for money flows displaying empirically documented convexities. A manager … formulation of such strategic interaction between two risk averse managers in a continuous-time setting, and solve for their …