dc.contributor.author | Parkes, David C. | |
dc.contributor.author | Huberman, Bernardo A. | |
dc.date.accessioned | 2010-05-18T18:02:00Z | |
dc.date.issued | 2001 | |
dc.identifier.citation | Parkes, David C., and Bernardo A. Huberman. 2001. Multiagent cooperative search for portfolio selection. Games and Economic Behavior 35(1-2): 124-165. | en_US |
dc.identifier.issn | 0899-8256 | en_US |
dc.identifier.uri | http://nrs.harvard.edu/urn-3:HUL.InstRepos:4101022 | |
dc.description.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. | en_US |
dc.description.sponsorship | Engineering and Applied Sciences | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | Elsevier | en_US |
dc.relation.isversionof | doi:10.1006/game.2000.0799 | en_US |
dc.relation.hasversion | http://www.eecs.harvard.edu/econcs/pubs/gebfinal.pdf | en_US |
dash.license | LAA | |
dc.title | Multiagent Cooperative Search for Portfolio Selection | en_US |
dc.type | Journal Article | en_US |
dc.description.version | Version of Record | en_US |
dc.relation.journal | Games and Economic Behavior | en_US |
dash.depositing.author | Parkes, David C. | |
dc.date.available | 2010-05-18T18:02:00Z | |
dc.identifier.doi | 10.1006/game.2000.0799 | * |
dash.contributor.affiliated | Parkes, David | |