Název: Determinants of Stocks' Choice in Portfolio Competitions
Autoři: Šmíd, Martin ; Kuběna, Aleš Antonín
Typ dokumentu: Příspěvky z konference
Konference/Akce: 8th International Scientific Conference Financial management of firms and financial institutions, Ostrava (CZ), 9. / 10. September 2013
Rok: 2013
Jazyk: eng
Abstrakt: We study investment competitions in which the players invest a virtual amount of money into financial asset and those with highest returns, measured by the actual prices, are rewarded by fixed prizes. We show that the competition, seen as a game, lacks a pure equilibrium and that the ``max-min'' solution of the game lies in the extremal point of the feasible set having maximal probability of victory. We show further that if a mixed equilibrium exists then its atoms lie exactly in the extremal points with a non-zero probability of victory and its weights are close to corresponding probabilities of victory. 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 the participants' choice may be explained by several stock traits to a certain extent. We also show that participants tend to choose negatively diversified portfolios.
Klíčová slova: behavioural finance; discrete choice; game theory; portfolio competition
Číslo projektu: CZ.1.07/2.3.00/20.0296, GA402/09/0965 (CEP), GAP402/11/0150 (CEP)
Poskytovatel projektu: EU, GA ČR, GA ČR
Zdrojový dokument: Financial Management of Firms and Financial Institutions

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2013/E/smid-determinants of stocks choice in portfolio competitions.pdf
Původní záznam: http://hdl.handle.net/11104/0224705

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-156654


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference