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Multiple fund investment situations and related games

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  • Wintein, S.

    (Tilburg University)

  • Borm, P.E.M.

    (Tilburg University)

  • Hendrickx, R.L.P.

    (Tilburg University)

  • Quant, M.

    (Tilburg University)

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 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 Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-194179.

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Date of creation: 2006
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Publication status: Published in Mathematical Methods of Operations Research (2006) v.63, p.413-426
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-194179

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Web page: http://www.tilburguniversity.edu/

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  1. O'Neill, Barry, 1982. "A problem of rights arbitration from the Talmud," Mathematical Social Sciences, Elsevier, Elsevier, vol. 2(4), pages 345-371, June.
  2. van Gellekom, J. R. G. & Potters, J. A. M. & Reijnierse, J. H. & Engel, M. C. & Tijs, S. H., 2000. "Characterization of the Owen Set of Linear Production Processes," Games and Economic Behavior, Elsevier, Elsevier, vol. 32(1), pages 139-156, July.
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