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

THE IMPACT OF INTELLECTUAL CAPITAL ON RETURN OF FIXED ASSETS AND FIRMS’ TOTAL ASSETS RETURN WHICH LISTED ON THE TEHRAN STOCK EXCHANGE

Nowadays, there are a lot of differences in value of commercial corporations. Existing capitals other than physical capitals in balance sheet is the most important reason that researchers of capital market have focused o...

CORPORATE GOVERNANCE AND FINANCIAL REPORTING IN THE NIGERIAN BANKING SECTOR: AN EMPERICAL STUDY

The objective of corporate governance in the strategic management of the banking industry in Nigeria is to ensure hearth financial system and economic development .This study therefore discusses the corporate governanc...

THE EFFECTS OF BOARD SIZE AND CEO DUALITY ON FIRMS’ CAPITAL STRUCTURE: A STUDY OF SELECTED LISTED FIRMS IN NIGERIA

This study examined the effects of board size and CEO Duality on the capital structure of listed firms in Nigeria. To achieve the objectives of this study, a total of 40 listed firms in the Nigerian stock exchange market...

Vietnam Economic Structure Change Based on Input-Output Table (2000-2007)

This study presents main findings on Vietnam economic structure change based on Leontief system and the Vietnam Input-Output Tables (2000 and 2007).

ECONOMIC FREEDOM AND ECONOMIC GROWTH IN MENA COUNTRIES

Most studies of the relationship between economic freedom and growth of GDP have found a positive correlation. One problem in this area is the choice of measure of economic freedom. A single measurement does not reflect...

Download PDF file
  • EP ID EP2078
  • DOI -
  • Views 277
  • Downloads 25

How To Cite

Habip Kocak (2014). CANONICAL COALITION GAME THEORY FOR OPTIMAL PORTFOLIO SELECTION. Asian Economic and Financial Review, 4(9), 1254-1259. https://europub.co.uk/articles/-A-2078