Cooperative Multiagent Search for Portfolio Selection

We present a new multiagent modelfor themulti- period 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 (cid:12)nal investment period. We show that a multiagent system can outperform a single agent that invests all the wealth in a simple stochas- tic market environment. Furthermore, a cooperative multiagent system, with a simple com- munication mechanism of explicit hint exchange, achieves a further increase in performance. Fi- nally we show that communication is redundant in a more realistic market that satis(cid:12)es the con- straints between volatility and return implied by the Capital Asset Pricing Model.

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