Original title: Portfolio competitions and rationality
Authors: Kuběna, Aleš Antonín ; Šmíd, Martin
Document type: Papers
Conference/Event: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Year: 2013
Language: eng
Abstract: We study investment competitions in which the players with highest achieved returns are rewarded by fixed prizes. We show that, under realistic assumptions, a game the participants play lacks a pure equilibrium and that the ``max-min'' solution of the game lies in one of the extremal points of the feasible set, namely in the one having maximal probability that the portfolio return falls into its normal cone. We analyse empirically a portfolio competition held recently by the Czech portal ``lidovky.cz''; we find that the majority of people do not behave according to the game-theoretic conclusions. Consequently, searching for factors influencing a choice of particular stocks, we find that that the only significant determinant of the choice is a size of the stock's issuer.
Keywords: behavioural finance; game theory; portfolio competition
Project no.: GA402/09/0965 (CEP)
Funding provider: GA ČR
Host item entry: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2013/E/kubena-portfolio competitions and rationality.pdf
Original record: http://hdl.handle.net/11104/0223253

Permalink: http://www.nusl.cz/ntk/nusl-155854


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