Multiple Fund Investment Situations and Related Games

Stefan Wintein, Peter Borm, Ruud Hendrickx () and Marieke Quant

Mathematical Methods of Operations Research, 2006, vol. 63, issue 3, 413-426

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

Keywords: Operations research games; Linear production games; Owen vectors; Duality (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s00186-006-0060-x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:63:y:2006:i:3:p:413-426

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/s00186-006-0060-x

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().