论文信息 - Adaptive Portfolio Selection by Investment Groups

Adaptive Portfolio Selection by Investment Groups

Abstract We present a new investment group model for the portfolio selection problem. Members of the group adjust their portfolio as they observe movements of the market over time and communicate to each other their current portfolio and its recent performance. Investors can choose to switch to any portfolio performing better than their own. We show that a group of adaptive investors will outperform a single adaptive investor for a simple market model. Furthermore, a group of investors can improve their performance through communication. Finally we show that communication is redundant in an extended market model that includes efficiency-constraints on correlations between stock price dynamics.

David C. Parkes | Bernardo A. Huberman | D. Parkes | B. Huberman

[1] Bernardo A. Huberman,et al. The performance of cooperative processes , 1990 .

[2] P. Samuelson. LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING , 1969 .

[3] T. Cover,et al. Asymptotic optimality and asymptotic equipartition properties of log-optimum investment , 1988 .

[4] B A Huberman,et al. Cooperative Solution of Constraint Satisfaction Problems , 1991, Science.

[5] Thomas M. Cover,et al. Empirical Bayes stock market portfolios , 1986 .

[6] Tad Hogg,et al. An Economics Approach to Hard Computational Problems , 1997, Science.

[7] Neil D. Pearson,et al. Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case , 1991 .