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Strategic interactions and portfolio choice in money management : theory and evidence (anglais)

The author study portfolio choice of strategic fund managers in the presence of a peer-based under performance penalty. While the penalty generates herding behavior, correlated trading among managers is exacerbated when a strategic setting is considered. The equilibrium portfolios are driven by the least restricted manager, who may vary according to the realization of returns. The author compare model predictions to evidence from the Colombian pension...
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