Cooperative game theory approach for portfolio sectoral selection before and after Malaysia general elections: GE13 versus GE14

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

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Abstract

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.

Item Type:	Article (Journal)
Additional Information:	5826/86760
Uncontrolled Keywords:	Cooperative game theory, shapley value, portfolio.
Subjects:	H Social Sciences > HB Economic Theory > HB131 Methodology.Mathematical economics. Quantitative methods
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Science > Department of Computational and Theoretical Sciences
Depositing User:	Dr Aminul Islam
Date Deposited:	22 Dec 2020 15:28
Last Modified:	22 Dec 2020 15:28
URI:	http://irep.iium.edu.my/id/eprint/86760

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