This paper analyzes linear production situations with price uncertainty, and shows that the corrresponding stochastic linear production games are totally balanced. It also shows that investment funds, where investors pool their individual capital for joint investments in financial assets, fit into this framework. For this subclass, the paper provides a procedure to construct an optimal investment portfolio. Furthermore it provides necessary and sufficient conditions for the proportional rule to result in a core-allocation.
|Place of Publication||Tilburg|
|Number of pages||18|
|Publication status||Published - 1999|
|Name||CentER Discussion Paper|
- linear production
- stochastic cooperative games
- investment funds