Competitive Investors

A Game Theoretical Approach on Hedge Fund Dynamic Analysis

Master thesis (2021)

Authors

E. Hoefkens Electrical Engineering, Mathematics and Computer Science

Contributors

R.J. Fokkink Applied Probability - EEMCS (mentor)
C.W. Oosterlee Numerical Analysis - EEMCS (graduation committee member)
G.F. Nane Applied Probability - EEMCS (graduation committee member)
Faculty
Electrical Engineering, Mathematics and Computer Science, Electrical Engineering, Mathematics and Computer Science
Copyright: © 2021 Emiel Hoefkens
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Published Date

29-01-2021

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

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.

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