Multiagent cooperative search for portfolio selection
成果类型：
Article
署名作者：
Parkes, DC; Huberman, BA
署名单位：
University of Pennsylvania
刊物名称：
GAMES AND ECONOMIC BEHAVIOR
ISSN/ISSBN：
0899-8256
DOI：
10.1006/game.2000.0799
发表日期：
2001
页码：
124-165
关键词：
摘要：
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. (C) 2001 Academic Press.
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