Competitive Investors
A Game Theoretical Approach on Hedge Fund Dynamic Analysis
E. Hoefkens (TU Delft - Electrical Engineering, Mathematics and Computer Science)
R.J. Fokkink – Mentor (TU Delft - Applied Probability)
CW Oosterlee – Graduation committee member (TU Delft - Numerical Analysis)
G. F. Nane – Graduation committee member (TU Delft - Applied Probability)
More Info
expand_more
Other than for strictly personal use, it is not permitted to download, forward or distribute the text or part of it, without the consent of the author(s) and/or copyright holder(s), unless the work is under an open content license such as Creative Commons.
Abstract
The Competitive Investor Game from Bell & Cover (1980) and the 푘-Player Ranking Game from Alpern & Howard (2017) are analysed in thesis. Optimal strategies have been derived and the related proofs have been given a new look. The Symmetric Multiplayer Ranking Game is considered as the general interpretation of financial competition among hedge funds. This study focused on the hedge funds that manage a Long/Short U.S. Equity strategy. Some minor evidence has been found to support the hypothesis that the studied hedge funds manage a strategy that has the objective to beat the competition in terms of annual performance in order to achieve the highest ranking.