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.

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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
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