Rewarding Trading Skills Without Inducing Gambling (joint with Igor Makarov)

開催日 2010年4月7日(水)16:50-18:30
開催場所 東京大学大学院経済学研究科 学術交流棟(小島ホール)1階 第1セミナー室
報告者 Guillaume Plantin 氏(Toulouse School of Economics and CEPR)
共催 Microworkshop
要約 This paper develops a model of active portfolio management in which fund managers may secretly gamble in order to manipulate their reputation and at- tract more funds. We show that such trading strategies may expose investors to severe losses and are more likely to occur when fund managers are impatient, their trading skills are scalable and generate higher pro t per unit of risk. We characterize the optimal contracts that deter this behavior. Our model can ex- plain a number of observed di erences in performance between mutual and hedge fund. In particular, it explains why persistence in returns and net risk-adjusted returns can be higher for hedge funds, and o ers a rationale for the prevalence of high-water mark contracts.

Bubble Cycles

開催日 2009年4月23日(木)16:50-18:30
開催場所 東京大学大学院経済学研究科棟 3階 第3教室
報告者 櫻川昌哉 氏(慶應義塾大学)
共催 Macroworkshop
要約 We develop a simple model that explains episodes on bubbles that occurred in the past Japan and the recent United States. The basic idea is that the self-fulfilling change in the saving rate leads to bubble-induced business cycles with co-movement between bubbles and investment. We have a counter-intuitive implication of the stimulus package of fiscal expansion in the bubbly economy.
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