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 464
- Downloads 25
COMPUTER SIMULATION AND PLANNING OF THE COMPANY PROFITABILITY
To achieve high job performance, the managers need to have information about the key activities of all sectors. If the flow of information is greater, the greater will be the knowledge and expertise in the company that a...
IS PROTECTIONISM RATIONAL UNDER THE FINANCIAL CRISIS? ANALYSIS FROM THE PERSPECTIVE OF INTERNATIONAL POLITICAL RELATIONS
Protectionism against economic globalization (free trade and FDI) always surges in the financial crises as the pressure from unemployment mounts. This paper aims to assess the rationality of the protectionism. Instead of...
DOES FIRM PROFILE INFLUENCE FINANCIAL ACCESS AMONG SMALL AND MEDIUM ENTERPRISES IN KENYA?
The purpose of this research is to determine whether firm-specific factors influence Small and Medium Enterprises’ (SMEs) ability to access finance. To address the study objectives, data from a sample of 103 SMEs was use...
AN APPRAISAL OF PERSONAL INCOME TAX EVASION IN NIGERIA
The objective of this study is to appraise the evasion of personal income tax in Nigeria. A total of 160 questionnaires were administered to some selected self-employed individuals in Edo State comprising businessmen, co...
ECONOMICS IMPERIALISM: SWOT ANALYSIS
It?s been a quarter of century since one of the founders of economic imperialism was crowned with glory and awarded for the establishing of hitherto non-conventional economic approach. Application of analytical tools of...