베팅·게임 | Cases & Studies in Betting & Gaming | 赌博 & 投机
- date : 2015-05-20 01:10|hit : 1715
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- Article] Ranking Games and Gambling: When to Quit When You're Ahead
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DocNo of ILP: 1138
Doc. Type: Article
Title: Ranking Games and Gambling: When to Quit When You're Ahead
Authors: Anderson, E
Full Name of Authors: Anderson, Edward
Keywords by Author:
Keywords Plus: MUTUAL FUND TOURNAMENTS; RISK-TAKING; INCENTIVES; MANAGEMENT; REWARDS
Abstract: It is common for rewards to be given on the basis of a rank ordering, so that relative performance amongst a cohort is the criterion. In this paper we formulate an equilibrium model in which an agent makes successive decisions on whether or not to gamble and is rewarded on the basis of a rank ordering of the final position amongst competing players. One application of this model is to the behavior of mutual fund managers who are paid depending on funds under management, which in turn are greatly influenced by annual or quarterly rank orderings. Our model deals with a situation in which fund managers can elect either to pick stocks or to use a market-tracking strategy. In equilibrium the distribution of the final position will have a negative skew. We explore how this distribution depends on the number of players, the probability of success when gambling, the structure of the rewards, and on information regarding the performance of other players.
Cate of OECD: Economics and business
Year of Publication: 2012
Business Area: game
Detail Business: game
Country: Germany
Study Area: market, market, Management, probability, probability, player, behavior, risk
Name of Journal: OPERATIONS RESEARCH
Language: English
Country of Authors: Univ Sydney, Sch Business, Sydney, NSW 2006, Australia
Press Adress: Anderson, E (reprint author), Univ Sydney, Sch Business, Sydney, NSW 2006, Australia.
Email Address: edward.anderson@sydney.edu.au
Citaion:
Funding:
Lists of Citation: Acker D, 2006, J BUS FINAN ACCOUNT, V33, P1460, DOI 10.1111/j.1468-5957.2006.00648.x; Brandt F, 2009, ARTIF INTELL, V173, P221, DOI 10.1016/j.artint.2008.10.008; BROOKS C., 2002, J ALTERNATIVE INVEST, V5, P26, DOI 10.3905/jai.2002.319053; Brown KC, 1996, J FINANC, V51, P85, DOI 10.2307/2329303; Browne S, 1999, ADV APPL PROBAB, V31, P551; Browne S, 2000, J APPL PROBAB, V37, P126; Casas-Arce P, 2009, MANAGE SCI, V55, P1306, DOI 10.1287/mnsc.1090.1021; Cheng S-F, 2004, 1213 SING MAN U SCH; Chevalier J, 1997, J POLIT ECON, V105, P1167, DOI 10.1086/516389; Cremers JH, 2005, J PORTFOLIO MANAGE, V31, P70, DOI 10.3905/jpm.2005.500356; Goldberg LA, 2010, 11 ACM C EL COMM, P335; Hopkins E, 2004, AM ECON REV, V94, P1085, DOI 10.1257/0002828042002705; Hopkins E, 2010, AM ECON J-MICROECON, V2, P106, DOI 10.1257/mic.2.3.106; Hvide HK, 2002, J LABOR ECON, V20, P877, DOI 10.1086/342041; Kempf A, 2008, REV FINANC STUD, V21, P1013, DOI 10.1093/rfs/hhm057; Koswoski R, 2006, J FINANC, V61, P2551; Lazear E., 1981, RANK ORDER TOURNAMEN, V89, P841; NASH J, 1951, ANN MATH, V54, P286, DOI 10.2307/1969529; ROBSON AJ, 1992, ECONOMETRICA, V60, P837, DOI 10.2307/2951568; Ross S., 2007, INTRO PROBABILITY MO; Schwarz CG, 2012, REV FINANC STUD, V25, P913, DOI 10.1093/rfs/hhr091; TAYLOR CR, 1995, AM ECON REV, V85, P872; Taylor J, 2003, J ECON BEHAV ORGAN, V50, P373, DOI 10.1016/S0167-2681(02)00028-8
Number of Citaion: 23
Publication: INFORMS
City of Publication: HANOVER
Address of Publication: 7240 PARKWAY DR, STE 310, HANOVER, MD 21076-1344 USA
ISSN: 0030-364X
29-Character Source Abbreviation: OPER RES
ISO Source Abbreviation: Oper. Res.
Volume: 60
Version: 5
Start of File: 1229
End of File: 1244
DOI: 10.1287/opre.1120.1091
Number of Pages: 16
Web of Science Category: Management; Operations Research & Management Science
Subject Category: Business & Economics; Operations Research & Management Science
Document Delivery Number: 035ER
Unique Article Identifier: WOS:000310926500016
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