Multiple fund investment situations and related games
AbstractThis 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 three corresponding games and analyse their properties. We propose an allocation process for the maximal total investment revenues. Copyright Springer-Verlag 2006
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-194179.
Date of creation: 2006
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Publication status: Published in Mathematical Methods of Operations Research (2006) v.63, p.413-426
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Other versions of this item:
- Stefan Wintein & Peter Borm & Ruud Hendrickx & Marieke Quant, 2006. "Multiple Fund Investment Situations and Related Games," Computational Statistics, Springer, Springer, vol. 63(3), pages 413-426, July.
- Wintein, S. & Borm, P.E.M. & Hendrickx, R.L.P. & Quant, M., 2002. "Multiple Fund Investment Situations and Related Games," Discussion Paper, Tilburg University, Center for Economic Research 2002-109, Tilburg University, Center for Economic Research.
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