The Cross-section of Managerial Ability and Risk Preferences

@inproceedings{Koijen2007TheCO,
  title={The Cross-section of Managerial Ability and Risk Preferences},
  author={Ralph S. J. Koijen},
  year={2007}
}
I use structural portfolio management models to study the joint cross-sectional distribution of managerial ability and risk preferences using manager-level data. The economic restrictions following from theory imply that (i) fund alphas reflect the manager’s ability and risk preferences and that (ii) information in second moments of fund returns can be used to estimate both attributes. The estimation relies on a novel framework to empirically analyze dynamic portfolio-choice models. The… CONTINUE READING
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