PROFIT-SHARING IN TRANSACTIONS GOVERNED BY A SUBADDITIVE CAPITALIZATION FUNCTION

This paper proposes that there exist situations when two or more investors who want to invest equal amounts in different, but successive periods, would be better off to "collude" and invest for the whole period to take advantage of an upward slopping yield curve. The goal of this paper is to propose a "rational" way to distribute the additional return resulting from the collusion strategy.

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Year of publication:	2005
Authors:	RAMBAUD, SALVADOR CRUZ ; MARTÍNEZ, MARÍA DEL CARMEN VALLS
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 01, p. 59-74
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Capitalization function \| decomposability \| subadditive \| profit-sharing

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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