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Multiple Fund Investment Situations and Related Games

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  • Stefan Wintein
  • Peter Borm
  • Ruud Hendrickx
  • Marieke Quant

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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  • Stefan Wintein & Peter Borm & Ruud Hendrickx & Marieke Quant, 2006. "Multiple Fund Investment Situations and Related Games," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(3), pages 413-426, July.
    • Handle: RePEc:spr:mathme:v:63:y:2006:i:3:p:413-426
    DOI: 10.1007/s00186-006-0060-x
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    1. Stefan Wintein & Peter Borm & Ruud Hendrickx & Marieke Quant, 2006. "Multiple Fund Investment Situations and Related Games," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(3), pages 413-426, July.
    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, vol. 32(1), pages 139-156, July.
    3. Sanchez-Soriano, Joaquin & Lopez, Marco A. & Garcia-Jurado, Ignacio, 2001. "On the core of transportation games," Mathematical Social Sciences, Elsevier, vol. 41(2), pages 215-225, March.
    4. Tijs, S.H. & van Gellekom, J.R.G. & Potters, J.A.M. & Reijnierse, J.H. & Engel, M.C., 2000. "Characterization of the Owen set of linear production processes," Other publications TiSEM bdf0c618-e9f1-496a-b977-0, Tilburg University, School of Economics and Management.
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    1. Stefan Wintein & Peter Borm & Ruud Hendrickx & Marieke Quant, 2006. "Multiple Fund Investment Situations and Related Games," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(3), pages 413-426, July.
    2. Hendrickx, R.L.P., 2004. "Cooperation and allocation," Other publications TiSEM ab33e762-204c-46e2-86b1-0, Tilburg University, School of Economics and Management.

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