英文文献：Competition among Portfolio Managers and Asset Specialization-投资组合经理之间的竞争和资产专业化
英文文献作者：Suleyman Basak,Dmitry Makarov
英文文献摘要：
This paper investigates the competition among portfolio managers as they attempt to outperform each other. We provide a tractable dynamic continuous-time model of competition between two risk-averse managers concerned about relative performance. To capture the managers’ asset specialization, we consider two imperfectly correlated risky stocks whereby each manager trades in one of the stocks, and so faces incomplete markets. We show that a unique pure-strategy Nash equilibrium always obtains, and provide the ensuing equilibrium portfolio policies explicitly. We find that competition makes a relatively risk tolerant manager decrease, and a risk intolerant increase, her portfolio risk. Moreover, a higher own risk aversion induces a manager to take more risk when the opponent is advantaged, in that she specializes in the stock with the relatively higher Sharpe ratio. We then explore the link between our two key ingredients, competition and asset specialization, and show that competition can be conducive to asset specialization. In particular, we find that both managers, when relatively risk tolerant, can voluntarily opt for asset specialization and the corresponding loss of diversification to avoid competing on the same turf by trading in the same set of stocks. When they are risk intolerant, however, the no-specialization scenario is more likely. When we consider a client investor of a manager, we show that her preferences for or against asset specialization could well be the opposite to that of her manager. We also examine the potential costs to a client investor, arising as managerial turnover or changing stock characteristics misaligns the client manager’s policy. We find that the client loses more when it is her manager who is replaced than the other manager. In contrast, the client’s losses are the same for a given change in her manager’s stock characteristics as for that in the competitor manager’s stock.

本文研究了投资组合经理之间的竞争，因为他们试图超越彼此。我们提供了一个可控制的动态连续时间竞争模型的两个风险厌恶经理关注相对业绩。为了捕捉经理人的资产专门化，我们考虑了两个不完全相关的高风险股票，每个经理人在其中一只股票上交易，因此面对的是不完全市场。我们证明了一个唯一的纯策略纳什均衡总是得到，并明确给出了随后的均衡投资组合策略。我们发现竞争会使一个相对风险容忍的经理人降低其投资组合的风险，而使一个风险容忍的经理人增加其投资组合的风险。而且，自身风险厌恶程度越高，使得经理在对手有利的情况下，会承担更多的风险，因为经理专门投资夏普比率相对较高的股票。然后，我们探讨了竞争和资产专业化这两个关键因素之间的联系，并表明竞争有助于资产专业化。特别地，我们发现，当两个管理者相对风险容忍时，他们可以自愿选择资产专业化和相应的分散化损失，以避免在同一领域的竞争，交易同一套股票。然而，当他们无法承受风险时，更有可能出现不专业化的情况。当我们考虑一位经理的客户投资者时，我们表明她对资产专业化的偏好可能与她的经理相反。我们还研究了客户投资者的潜在成本，如管理人员更替或股票特征的变化使客户经理的政策不一致。我们发现，当客户的经理被取代时，客户损失的比其他经理更多。相反，客户的损失是相同的，因为她的经理的股票特征的给定变化的竞争对手经理的股票。