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dc.contributor.authorParkes, David C.
dc.contributor.authorHuberman, Bernardo A.
dc.date.accessioned2010-05-18T18:02:00Z
dc.date.issued2001
dc.identifier.citationParkes, 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.issn0899-8256en_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:4101022
dc.description.abstractWe 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.sponsorshipEngineering and Applied Sciencesen_US
dc.language.isoen_USen_US
dc.publisherElsevieren_US
dc.relation.isversionofdoi:10.1006/game.2000.0799en_US
dc.relation.hasversionhttp://www.eecs.harvard.edu/econcs/pubs/gebfinal.pdfen_US
dash.licenseLAA
dc.titleMultiagent Cooperative Search for Portfolio Selectionen_US
dc.typeJournal Articleen_US
dc.description.versionVersion of Recorden_US
dc.relation.journalGames and Economic Behavioren_US
dash.depositing.authorParkes, David C.
dc.date.available2010-05-18T18:02:00Z
dc.identifier.doi10.1006/game.2000.0799*
dash.contributor.affiliatedParkes, David


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