Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14
The aim of this research is to provide a model for optimising the sectoral portfolio selection by using game theory during a general elections phase. We select stocks from Bursa Malaysia and calculate the payoff for each stock and its coalition sectors by averaging returns. The value of the game i...
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my.iium.irep.867602020-12-22T07:28:38Z http://irep.iium.edu.my/86760/ Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14 Ibrahim, Muhammad Akram Ramadhan Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah HB131 Methodology.Mathematical economics. Quantitative methods The aim of this research is to provide a model for optimising the sectoral portfolio selection by using game theory during a general elections phase. We select stocks from Bursa Malaysia and calculate the payoff for each stock and its coalition sectors by averaging returns. The value of the game is at the same time the characteristic function of a multiple-player game which will be applied to obtain the Shapley value using the cooperative game theory approach for finding the optimal increment of the returns. We also compare the Shapley value percentages obtained for both periods of the 13th Malaysia General Election (GE13) and 14th Malaysia General Election (GE14) to indicate the impact of GE14 on investment. This research will lead to optimal portfolio selection before and after an election. Scholars Middle East Publishers 2020-08-11 Article PeerReviewed application/pdf en http://irep.iium.edu.my/86760/1/Paper_2.pdf Ibrahim, Muhammad Akram Ramadhan and Pah, Chin Hee and Islam, Mohd Aminul and Bahaludin, Hafizah (2020) Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14. Saudi Journal of Economics and Finance, 4 (8). pp. 390-399. ISSN 2523-9414 E-ISSN 2523-6563 https://saudijournals.com/journals doi:10.36348/sjef.2020.v04i08.003 |
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HB131 Methodology.Mathematical economics. Quantitative methods Ibrahim, Muhammad Akram Ramadhan Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14 |
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The aim of this research is to provide a model for optimising the sectoral portfolio selection by using game theory during
a general elections phase. We select stocks from Bursa Malaysia and calculate the payoff for each stock and its coalition
sectors by averaging returns. The value of the game is at the same time the characteristic function of a multiple-player
game which will be applied to obtain the Shapley value using the cooperative game theory approach for finding the
optimal increment of the returns. We also compare the Shapley value percentages obtained for both periods of the 13th
Malaysia General Election (GE13) and 14th Malaysia General Election (GE14) to indicate the impact of GE14 on
investment. This research will lead to optimal portfolio selection before and after an election. |
format |
Article |
author |
Ibrahim, Muhammad Akram Ramadhan Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah |
author_facet |
Ibrahim, Muhammad Akram Ramadhan Pah, Chin Hee Islam, Mohd Aminul Bahaludin, Hafizah |
author_sort |
Ibrahim, Muhammad Akram Ramadhan |
title |
Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14 |
title_short |
Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14 |
title_full |
Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14 |
title_fullStr |
Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14 |
title_full_unstemmed |
Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14 |
title_sort |
cooperative game theory approach for portfolio sectoral selection before and after malaysia general elections: ge13 versus ge14 |
publisher |
Scholars Middle East Publishers |
publishDate |
2020 |
url |
http://irep.iium.edu.my/86760/1/Paper_2.pdf http://irep.iium.edu.my/86760/ https://saudijournals.com/journals |
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