Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision
David Goldbaum () and
Bruce Mizrach ()
Departmental Working Papers from Rutgers University, Department of Economics
We estimate the intensity of choice parameter in heterogenous agent models in both a static and dynamic setting. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. Actively managed funds have a lower Sharpe ratio than passive index funds, yet they attract a majority share of asset allocation. By estimating the relative growth of passive funds, we obtain a dynamic estimate of the intensity of choice calibrated to 10 years of mutual fund flows.
Keywords: heterogenous agents; intensity of choice; mutual funds (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
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Journal Article: Estimating the intensity of choice in a dynamic mutual fund allocation decision (2008)
Working Paper: Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:200414
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