Mutual fund competition in the presence of dynamic flows

DOI10.1016/J.AUTOMATICA.2010.04.006zbMath1195.91142OpenAlexW2159048339WikidataQ56935646 ScholiaQ56935646MaRDI QIDQ987650

Michèle Breton, Julien Hugonnier, Tarek Masmoudi

Publication date: 13 August 2010

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2010.04.006

zbMATH Keywords

stochastic differential gameportfolio managementdynamic flowsmutual fundsasset-based management fees

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (6)

A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Inter‐temporal mutual‐fund management ⋮ Optimal fund menus ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS ⋮ Optimal investment problem for an open-end fund with dynamic flows

Cites Work

• Delegated dynamic portfolio management under mean-variance preferences
• Product Differentiation, Search Costs, and Competition in the Mutual Fund Industry: A Case Study of S&P 500 Index Funds
• MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS

This page was built for publication: Mutual fund competition in the presence of dynamic flows