PROFIT-SHARING IN TRANSACTIONS GOVERNED BY A SUBADDITIVE CAPITALIZATION FUNCTION

Salvador Cruz Rambaud and María Del Carmen Valls Martínez ()
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María Del Carmen Valls Martínez: Departamento de Dirección y Gestión de Empresas, University of Almería, Spain

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 01, 59-74

Abstract: This paper proposes that there exist situations when two or more investors who want to invest equal amounts in different, but successive periods, would be better off to "collude" and invest for the whole period to take advantage of an upward slopping yield curve. The goal of this paper is to propose a "rational" way to distribute the additional return resulting from the collusion strategy.

Keywords: Capitalization function; decomposability; subadditive; profit-sharing (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1142/S0219024905002913

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