Multiagent Cooperative Search for Portfolio Selection

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Multiagent Cooperative Search for Portfolio Selection

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Title: Multiagent Cooperative Search for Portfolio Selection
Author: Parkes, David C.; Huberman, Bernardo A.

Note: Order does not necessarily reflect citation order of authors.

Citation: Parkes, David C., and Bernardo A. Huberman. 2001. Multiagent cooperative search for portfolio selection. Games and Economic Behavior 35(1-2): 124-165.
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Abstract: We present a new multiagent model for the multiperiod portfolio selection problem. A system of cooperative agents divide initial wealth and follow individual worst-case optimal investment strategies from random portfolios, sharing their final profits and losses. The multiagent system achieves better average-case performance than a single agent with the same initial wealth in a simple stochastic market. A further increase in performance is achieved through communication of hints between agents and probabilistic strategy-switching. However, this explicit cooperation is redundant in a market that approximates the Capital Asset Pricing Model, a model of equilibrium stock price dynamics. Journal of Economic Literature Classification Numbers: C63, C73, D83, G11.
Published Version: doi:10.1006/game.2000.0799
Other Sources: http://www.eecs.harvard.edu/econcs/pubs/gebfinal.pdf
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:4101022

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  • FAS Scholarly Articles [7106]
    Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University
 
 

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