EconPapers    
Economics at your fingertips  
 

Mutual Fund Competition in the Presence of Dynamic Flows

Michèle Breton, Julien Hugonnier and Tarek Masmoudi
Additional contact information
Michèle Breton: CREF, GERAD, and HEC Montr´eal
Tarek Masmoudi: Caisse de d´epˆot et placement du Qu´ebec (CDPQ)

No 08-26, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [18]. We characterize the set of equilibria for this delegated 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.

Keywords: portfolio management; asset-based management fees; mutual funds; dynamic flows; stochastic differential game. (search for similar items in EconPapers)
JEL-codes: C61 G11 G12 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2008-09
New Economics Papers: this item is included in nep-com and nep-fmk
References: Add references at CitEc
Citations:

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1265006 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0826

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

 
Page updated 2025-03-22
Handle: RePEc:chf:rpseri:rp0826