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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 three corresponding games and analyse their properties. We propose an allocation process for the maximal total investment revenues.

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Authors and Affiliations

  1. CentER and Department of Econometrics and Operations Research, Tilburg University, P.O. Box 90153, 5000, LE, Tilburg, The Netherlands

    Stefan Wintein, Peter Borm, Ruud Hendrickx & Marieke Quant

Authors
  1. Stefan Wintein
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  2. Peter Borm
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  3. Ruud Hendrickx
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  4. Marieke Quant
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Corresponding author

Correspondence to Ruud Hendrickx.

Additional information

Ruud Hendrickx acknowledges financial support from the Netherlands Organisation for Scientific Research (NWO).

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Wintein, S., Borm, P., Hendrickx, R. et al. Multiple Fund Investment Situations and Related Games. Math Meth Oper Res 63, 413–426 (2006). https://doi.org/10.1007/s00186-006-0060-x

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  • DOI: https://doi.org/10.1007/s00186-006-0060-x

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