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Bibliografie

Conference Paper (international conference)

Determinants of Stocks' Choice in Portfolio Competitions

Šmíd Martin, Kuběna Aleš Antonín

: Financial Management of Firms and Financial Institutions

: 8th International Scientific Conference Financial management of firms and financial institutions, (Ostrava, CZ, 9.-10. September 2013)

: CZ.1.07/2.3.00/20.0296, EU, GA402/09/0965, GA ČR, GAP402/11/0150, GA ČR

: portfolio competition, game theory, behavioural finance, discrete choice

: http://library.utia.cas.cz/separaty/2013/E/smid-determinants of stocks choice in portfolio competitions.pdf

(eng): 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.

: BB