Relative performance concerns among investment managers

Mark Whitmeyer ()
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Mark Whitmeyer: University of Texas at Austin

Annals of Finance, 2019, vol. 15, issue 2, No 3, 205-231

Abstract: Abstract This paper examines the strategic interaction of n portfolio managers with relative performance concerns. We characterize the unique constant Nash equilibrium and derive some compelling results. Surprisingly, in equilibrium, more risk tolerant players do not generally take riskier positions than less risk tolerant players. We derive sufficient conditions under which this relation does hold. We also examine the effects of adding new players to the game on the equilibrium, and look at the equilibrium in the limiting case as the number of players goes to infinity. We show that for a symmetric population, the equilibrium strategy of the players converges pointwise to some limiting equilibrium policy.

Keywords: Behavioral finance; Relative concerns; Portfolio choice; Continuous-time finance (search for similar items in EconPapers)
JEL-codes: C72 C73 G11 G40 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10436-019-00343-2

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