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Optimal Portfolio Diversification? A Multi-agent Ecological Competition Analysis

  • Olivier Brandouy
  • Philippe Mathieu
  • Iryna Veryzhenko
Part of the Advances in Intelligent and Soft Computing book series (AINSC, volume 156)

Abstract

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.

Keywords

Optimal Portfolio Investment Strategy Risky Asset Sharpe Ratio Short Selling 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Olivier Brandouy
    • 1
  • Philippe Mathieu
    • 2
  • Iryna Veryzhenko
    • 1
  1. 1.Dept. of Finance & GREGOR (EA MESR-U.Paris1 2474)Sorbonne Graduate School of BusinessParisFrance
  2. 2.Computer Science Dept. LIFL (UMR CNRS 8022)Université Lille 1LilleFrance

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