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Original title:
Determinants of Stocks' Choice in Portfolio Competitions
Authors: Šmíd, Martin ; Kuběna, Aleš Antonín
Document type: Papers
Conference/Event: 8th International Scientific Conference Financial management of firms and financial institutions, Ostrava (CZ), 9. / 10. September 2013
Year: 2013
Language: eng
Abstract: 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.
Keywords: behavioural finance; discrete choice; game theory; portfolio competition
Project no.: CZ.1.07/2.3.00/20.0296, GA402/09/0965 (CEP), GAP402/11/0150 (CEP)
Funding provider: EU, GA ČR, GA ČR
Host item entry: Financial Management of Firms and Financial Institutions
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/smid-determinants of stocks choice in portfolio competitions.pdf
Original record: http://hdl.handle.net/11104/0224705
Permalink: http://www.nusl.cz/ntk/nusl-156654
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Authors: Šmíd, Martin ; Kuběna, Aleš Antonín
Document type: Papers
Conference/Event: 8th International Scientific Conference Financial management of firms and financial institutions, Ostrava (CZ), 9. / 10. September 2013
Year: 2013
Language: eng
Abstract: 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.
Keywords: behavioural finance; discrete choice; game theory; portfolio competition
Project no.: CZ.1.07/2.3.00/20.0296, GA402/09/0965 (CEP), GAP402/11/0150 (CEP)
Funding provider: EU, GA ČR, GA ČR
Host item entry: Financial Management of Firms and Financial Institutions
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/smid-determinants of stocks choice in portfolio competitions.pdf
Original record: http://hdl.handle.net/11104/0224705
Permalink: http://www.nusl.cz/ntk/nusl-156654
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2013-10-10, last modified 2021-11-24