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

Fingerprint

Investors
Investment funds
Investment opportunities
Revenue
Cooperative game theory
Modeling

Keywords

  • investment trusts
  • cooperative games

Cite this

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). Tilburg: Operations research.
Wintein, S. ; Borm, P.E.M. ; Hendrickx, R.L.P. ; Quant, M. / Multiple Fund Investment Situations and Related Games. Tilburg : Operations research, 2002. (CentER Discussion Paper).
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Wintein, S, Borm, PEM, Hendrickx, RLP & Quant, M 2002 'Multiple Fund Investment Situations and Related Games' CentER Discussion Paper, vol. 2002-109, Operations research, Tilburg.

Multiple Fund Investment Situations and Related Games. / Wintein, S.; Borm, P.E.M.; Hendrickx, R.L.P.; Quant, M.

Tilburg : Operations research, 2002. (CentER Discussion Paper; Vol. 2002-109).

Research output: Working paperDiscussion paperOther research output

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AB - 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.

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KW - cooperative games

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PB - Operations research

CY - Tilburg

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Wintein S, Borm PEM, Hendrickx RLP, Quant M. Multiple Fund Investment Situations and Related Games. Tilburg: Operations research. 2002. (CentER Discussion Paper).