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Multiple fund investment situations and related games

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Author Info
Wintein, S.
Borm, P.
Hendrickx, R.
Quant, M. (Tilburg University, Center for Economic Research)

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Abstract

This paper deals with interactive multiple fund investment situations, in which investors can invest their capital in a number of funds. The investors, however, face some restrictions. In particular, the investment opportunities of an investor depend on the behaviour of the other investors. Moreover, the individual investment returns may differ. We consider this situation from a cooperative game theory point of view. Based on different assumptions modelling the gains of joint investment, we consider corresponding types of games and analyse their properties. We propose an explicit allocation process for the maximal total investment revenues.

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Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 109.

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Date of creation: 2002
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Handle: RePEc:dgr:kubcen:2002109

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  1. O'Neill, Barry, 1982. "A problem of rights arbitration from the Talmud," Mathematical Social Sciences, Elsevier, vol. 2(4), pages 345-371, June. [Downloadable!] (restricted)
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