Ekonomická a finančná matematika

Vazeni kolegovia,

pozyvame Vas na seminar Centra pre ekonomiu a financie Fakulty matematiky,
fyziky a informatiky Univerzity Komenskeho. Jeho obsahom bude prednaska

Péter Kondor (Central European University):

The delegated Lucas tree,

ktora sa uskutocni v stredu 10.11.2010 o 15.00

v poslucharni C na FMFI UK.

Prednaska je podporena grantom Nadacie Tatrabanky.

Abstrakt prednasky:
We analyze the effects of the observed increased share of delegated capital for
trading strategies and equilibrium prices.
We introduce delegation into a standard Lucas exchange economy, where in equilibrium
some investors trade on their own account, but others decide to delegate trading to
professional fund managers. Flow-performance incentive functions describe how much
capital clients provide to funds at each date as a function of past performance. Convex
flow-performance relations imply that the average fund outperforms the market in recessions
and underperforms in expansions. When the share of capital that is delegated
is low, all funds follow the same strategy. However, when the equilibrium share of
delegated capital is high funds with identical incentives employ heterogeneous trading
strategies. A group of managers borrow to take on a levered position on the stock.
Thus, fund returns are dispersed in the cross-section and the outstanding amounts of
borrowing and lending increase. The relation between the share of delegated capital
and the Sharpe ratio typically follows an inverse U-shape pattern.

Viac informacii o seminaroch najdete na web-stranke:
http://www.defm.fmph.uniba.sk
v casti "Aktuality a seminare".

Tesime sa na Vasu ucast,

CEF