PittsburghV1, Hal, Corpus, bibRecord, 000516

Rewarding Trading Skills Without Inducing Gambling

Identifieur interne : 000516 ( Hal/Corpus ); précédent : 000515; suivant : 000517

Rewarding Trading Skills Without Inducing Gambling

Auteurs : Igor Makarov ; Guillaume Plantin

Source :

Journal of Finance, The (AFA) [ 00221082 ] ; 2015-06.

RBID : Hal:hal-01178107

English descriptors

mix :
- Active asset maagement, Financial strategies, Trading skills.

Abstract

This paper develops a model of active asset management in which fund managers may forgo alpha-generating strategies, preferring instead to make negative-alpha trades that enable them to temporarily manipulate investors' perceptions of their skills. We show that such trades are optimally generated by taking on hidden tail risk, and are more likely to occur when fund managers are impatient and when their trading skills are scalable, and generate a high profit per unit of risk. We propose long-term contracts that deter this behavior by dynamically adjusting the dates on which the manager is compensated in response to her cumulative performance.

Url:

https://hal.archives-ouvertes.fr/hal-01178107

Links to Exploration step

Hal:hal-01178107

Le document en format XML

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Rewarding Trading Skills Without Inducing Gambling

Rewarding Trading Skills Without Inducing Gambling

Source :

English descriptors

Abstract

Links to Exploration step

Le document en format XML

Pour manipuler ce document sous Unix (Dilib)

Pour mettre un lien sur cette page dans le réseau Wicri