Multiagent Cooperative Search for Portfolio Selection
| 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. |
| Full Text & Related Files: |
Parkes_Multiagent.pdf (370.1Kb; PDF) 
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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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