Optimal Portfolio Diversification? A Multi-agent Ecological Competition Analysis
In this research we study the relative performance of investment strategies scrutinizing their behaviour in an ecological competition where populations of artificial investors co-evolve.We test different variations around the canonical modern portfolio theory of Markowitz, strategies based on the naive diversification principles and the combination of several strategies.We show, among others, that the best possible strategy over the long run always relies on a mix ofMean-Variance sophisticated optimization and a naive diversification. We show that this result is robust when short selling is allowed in the market and whatever the performance indicator chosen to gauge the relative interest of the studied investment strategies.
KeywordsOptimal Portfolio Investment Strategy Risky Asset Sharpe Ratio Short Selling
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