Strategic Asset Allocation in Money Management
研究了资金经理为争夺资金流而进行战略互动时的动态投资组合选择，分析了两位风险厌恶经理在连续时间内的均衡投资策略，发现当业绩接近时他们会反向赌博，且均衡策略取决于对手的风险态度。
ABSTRACT This paper analyzes the dynamic portfolio choice implications of strategic interaction among money managers who compete for fund flows. We study such interaction between two risk‐averse managers in continuous time, characterizing analytically their unique equilibrium investments. Driven by chasing and contrarian mechanisms when one is well ahead, they gamble in the opposite direction when their performance is close. We also examine multiple and mixed‐strategy equilibria. Equilibrium policy of each manager crucially depends on the opponent's risk attitude. Hence, client investors concerned about how a strategic manager may trade on their behalf should also learn competitors' characteristics.