Game theory and applications in finance
AbstractIn finance, situations exist that give rise to allocation problems. Individuals combining their capital typically have more investment opportunities, and thus higher revenues. The proceeds of their investments have to be divided among those individuals. Also, banks and insurance companies face several allocation problems, which are especially related to risk capital since there is a potential to hedge risk. The first problem arises when the total risk capital withheld by a firm needs to be divided over several business divisions within the firm. The second problem deals with a business sector, where it is determined how companies compensate customers of bankrupted competitors for their losses. The aforementioned problems are not only studied by construction cooperative games, but by applying the underlying rationale to the specific problems as well.
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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:12-4054634.
Date of creation: 2010
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Publication status: Published
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