Market failure using the basket recommended by the Coalition
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
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). 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 each players strategies (stocks) with identical targets but different Beta capabilities will be examined first with a zero-sum game and then with establishing a coalition among different Beta groups(players). The obtained optimal gain will be distributed to each stock using Shapley vector. As a result the performance of the models portfolio was positive and better than market performance which resulted negative return during testing period.
Keywords:
Language:
Persian
Published:
Financial Engineering and Protfolio Management, Volume:8 Issue: 33, 2018
Pages:
1 to 24
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