CANONICAL COALITION GAME THEORY FOR OPTIMAL PORTFOLIO SELECTION
Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 9
Abstract
Special mathematical techniques have been developed in order to analyze conflict-competition situations. Game theory provides a formal analytical framework with a set of mathematical tools to study the complex intersections among rational players (Osborne, 2004). The purpose of developing this theory is to examine the rational ways of behaving for conflicting groups or individuals and to make sure that one of these groups is the winner. Throughout the past decades, game theory has made revolutionary impact on a large number of disciplines ranging from economics, engineering, political science, philosophy or even psychology (Myerson, 1991).Several approaches have been produced to the Portfolio selection problem, which became popular among researchers with the article of Harry M. Markowitz, published in Journal of finance in 1952, which occupies an essential place in the literature. Canonical Coalition Game Theory is among these approaches. In this paper the optimality of a portfolio partnership which will be created by stocks with identical targets but different risk capabilities will be examined with Coalition Game Theory. The obtained optimal gain will be distributed depending on risk coefficients using Shapley vector.
Authors and Affiliations
Habip Kocak| Kent Business School, Universtiy of Kent, Canterbury, UK, Department of Econometrics, Faculty of Economics, Marmara University, TR
Keywords
Related Articles
- EP ID EP2078
- DOI -
- Views 459
- Downloads 25
THE VOLATILITY STRUCTURE OF GLOBAL FINANCIAL MARKETS: A COMPARATIVE ANALYSIS
The study is basically an extension of the k-day Vol ratio analysis on Nifty Index, proposed by Viswanathan and Maheswaran (2016). It examines the impact of the global financial crisis of 2008 on the structure of volatil...
INFLATION AND UNEMPLOYMENT NEXUS IN NIGERIA: ANOTHER TEST OF THE PHILLIP’S CURVE
This research work examines the inflation and unemployment nexus in Nigeria by testing if the original Phillips curve proposition holds for Nigeria. The study adopted a distributed lag model with data covering the period...
A Study On Individual Competencies-An Empirical Study
Measuring the soft factors in economic terms is being challenged.Individual’s performances were described as competencies in order for themto performed, observed and assessed to obtain accreditation as competent.The stud...
Dangers in Mismanaging the Factors Affecting the Operational Self-Sustainability (OSS) of Indian Microfinance Institutions (MFIs)—An Exploration into Indian Microfinance Crisis
This paper identifies the factors affecting the operational self-sustainability (OSS) of Indian Microfinance Institutions (MFIs) using multiple regression analysis. It shows revenue generation factor, cost efficiency fac...
DOES TRADE WITH LABOUR SENDING COUNTRIES REDUCE DEMAND FOR MIGRANT WORKERS: A LESSON FROM MALAYSIA
This paper has three objectives. The first objective is to examine the long-run relationships among exports, imports, income and demand for migrant workers. This is followed by a causality test between these variables as...