Competition in Portfolio Management: Theory and Experiment
研究了非排他性投资者-经理关系下，竞争如何迫使经理提供类似Arrow-Debreu证券的投资组合，并验证了弱资本资产定价模型，但发现财富集中会降低价格质量。
We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor–manager relationship is nonexclusive. Our theory predicts that competition forces managers to promise portfolios that mimic Arrow–Debreu (AD) securities, which investors then combine to fit their preferences. A weak version of the capital asset pricing model (CAPM) obtains, where state prices (relative to state probabilities) implicit in prices of traded securities will be inversely ranked to aggregate wealth across states. Our experiment broadly corroborates the price and choice predictions of the theory. However, price quality deteriorates when only a few managers attract most of the available wealth. Wealth concentration increases because funds flow toward managers who offer portfolios closer to replicating AD securities (as in the theory), but also because funds flow to managers who had better performance in the immediate past (an observation unrelated to the theory). This paper was accepted by Jerome Detemple, finance.