Cooperative Multiagent Search for Portfolio Selection
Huberman, Bernardo A.
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CitationParkes, David C. and Bernardo A. Huberman. 1998. Cooperative Multiagent Search for Portfolio Selection. Proceeding of AGENTS Workshop on Artificial Societies and Computational Markets.
AbstractWe present a new multiagent model for the multiperiod portfolio selection problem. Individual agents receive a share of initial wealth, and follow an investment strategy that adjusts their portfolio as they observe movements of the market over time. The agents share their wealth at the end of the final investment period. We show that a multiagent system can outperform a single agent that invests all the wealth in a simple stochastic market environment. Furthermore, a cooperative multiagent system, with a simple communication mechanism of explicit hint exchange, achieves a further increase in performance. Finally we show that communication is redundant in a more realistic market that satisfies the constraints between volatility and return implied by the Capital Asset Pricing Model.
Citable link to this pagehttp://nrs.harvard.edu/urn-3:HUL.InstRepos:4101014
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