The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach
Game theory approach is used in this study that involves two types of games which are noncooperative and cooperative. Noncooperative game is used to get the equilibrium solutions from each payoff matrix. From the solutions, the values then be used as characteristic functions of Shapley value solutio...
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my.iium.irep.794472020-11-25T07:45:05Z http://irep.iium.edu.my/79447/ The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach Ramadhan bin Ibrahim, Muhammad Akram Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah QA Mathematics Game theory approach is used in this study that involves two types of games which are noncooperative and cooperative. Noncooperative game is used to get the equilibrium solutions from each payoff matrix. From the solutions, the values then be used as characteristic functions of Shapley value solution concept in cooperative game. In this paper, the sectors are divided into three groups where each sector will have three different stocks for the game. This study used the companies that listed in Bursa Malaysia and the prices of each stock listed in this research obtained from Datastream. The rate of return of stocks are considered as an input to get the payoff from each stock and its coalition sectors. The value of game for each sector is obtained using Shapley value solution concepts formula to find the optimal increase of the returns. The Shapley optimal portfolio, naive diversification portfolio and market portfolio performances have been calculated by using Sharpe ratio. The Shapley optimal portfolio outperformed the naive diversification portfolio and market portfolio in 6 months before and after the GE14. Canadian Center of Science and Education 2020-04 Article PeerReviewed application/pdf en http://irep.iium.edu.my/79447/7/79447_The%20portfolio%20optimization%20performance%20during%20Malaysia%E2%80%99s%202018%20General%20Election.pdf Ramadhan bin Ibrahim, Muhammad Akram and Pah, Chin Hee and Islam, Mohd Aminul and Bahaludin, Hafizah (2020) The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach. Modern Applied Science, 14 (4). pp. 1-13. ISSN 1913-1844 E-ISSN 1913-1852 http://www.ccsenet.org/journal/index.php/mas/article/view/0/42199 10.5539/mas.v14n4p1 |
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QA Mathematics Ramadhan bin Ibrahim, Muhammad Akram Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach |
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Game theory approach is used in this study that involves two types of games which are noncooperative and cooperative. Noncooperative game is used to get the equilibrium solutions from each payoff matrix. From the solutions, the values then be used as characteristic functions of Shapley value solution concept in cooperative game. In this paper, the sectors are divided into three groups where each sector will have three different stocks for the game. This study used the companies that listed in Bursa Malaysia and the prices of
each stock listed in this research obtained from Datastream. The rate of return of stocks are considered as an input to get the payoff from each stock and its coalition sectors. The value of game for each sector is obtained using Shapley value solution concepts formula to find the optimal increase of the returns. The Shapley optimal portfolio, naive diversification portfolio and market portfolio performances have been calculated by using Sharpe ratio. The Shapley optimal portfolio outperformed the naive diversification
portfolio and market portfolio in 6 months before and after the GE14. |
format |
Article |
author |
Ramadhan bin Ibrahim, Muhammad Akram Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah |
author_facet |
Ramadhan bin Ibrahim, Muhammad Akram Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah |
author_sort |
Ramadhan bin Ibrahim, Muhammad Akram |
title |
The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach |
title_short |
The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach |
title_full |
The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach |
title_fullStr |
The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach |
title_full_unstemmed |
The portfolio optimization performance during Malaysia’s 2018 General Election by using noncooperative and cooperative game theory approach |
title_sort |
portfolio optimization performance during malaysia’s 2018 general election by using noncooperative and cooperative game theory approach |
publisher |
Canadian Center of Science and Education |
publishDate |
2020 |
url |
http://irep.iium.edu.my/79447/7/79447_The%20portfolio%20optimization%20performance%20during%20Malaysia%E2%80%99s%202018%20General%20Election.pdf http://irep.iium.edu.my/79447/ http://www.ccsenet.org/journal/index.php/mas/article/view/0/42199 |
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