Multiple Fund Investment Situations and Related Games

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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.
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Number of pages21
Volume2002-109
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-109

Keywords

  • investment trusts
  • cooperative games

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    Wintein, S., Borm, P. E. M., Hendrickx, R. L. P., & Quant, M. (2002). Multiple Fund Investment Situations and Related Games. (CentER Discussion Paper; Vol. 2002-109). Operations research.