Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision

David Goldbaum and Bruce Mizrach

No 295, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: 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)
Date: 2005-11-11
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (1)

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Related works:
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 (2004)
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