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Optimal Portfolio Diversification? A Multi-agent Ecological Competition Analysis

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Book cover Highlights on Practical Applications of Agents and Multi-Agent Systems

Part of the book series: Advances in Intelligent and Soft Computing ((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.

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Author information

Authors and Affiliations

  1. Dept. of Finance & GREGOR (EA MESR-U.Paris1 2474), Sorbonne Graduate School of Business, Paris, France

    Olivier Brandouy & Iryna Veryzhenko

  2. Computer Science Dept. LIFL (UMR CNRS 8022), Université Lille 1, Lille, France

    Philippe Mathieu

Authors
  1. Olivier Brandouy
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  2. Philippe Mathieu
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  3. Iryna Veryzhenko
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Corresponding author

Correspondence to Olivier Brandouy .

Editor information

Editors and Affiliations

  1. Escuela Universitaria de Informática, Universidad Pontificia de Salamanca, Compañía 5, Salamanca, 37002, Spain

    Javier Bajo Pérez

  2. , Facultad de Informática, Universidad Pontificia de Salamanca, Compañía 5, Salamanca, 37002, Spain

    Miguel A. Sánchez

  3. Technologies de Lille, LIFL UMR CNRS 8022, Université des Sciences et, Bâtiment M3 (extension), Villeneuve d’Ascq, 59655, France

    Philippe Mathieu

  4. Faculty of Science, Department of Computing Science, University of Salamanca, Plaza de la Merced S/N, Salamanca, 37008, Spain

    Juan M. Corchado Rodríguez

  5. , LAMIH (UMR CNRS 8530), Universite de Valenciennes, Le Mont Houy, Valenciennes, 59313, France

    Emmanuel Adam

  6. , Departamento de Ingeniería, Ciudad Universitaria de Cantoblanco, Madrid, 28049, Spain

    Alfonso Ortega

  7. Universidad de Salamanca, Plaza de la Merced S/N, Salamanca, 37008, Spain

    María N. Moreno

  8. , Departamento de Informática, University of Castilla-La Mancha, Campus Universitario s/n, Albacete, 02071, Spain

    Elena Navarro

  9. EBTIC, Khalifa University, Abu Dhabi Campus, Abu Dhabi, Utd.Arab.Emir.

    Benjamin Hirsch

  10. , Departamento de Engenharia Informática, Universidade do Porto, Rua Dr. Roberto Frias, s/n, Porto, 4200-465, Portugal

    Henrique Lopes-Cardoso

  11. Universidad Politécnica de Valencia, Camino de Vera s/n, Valencia, 46022, Spain

    Vicente Julián

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© 2012 Springer-Verlag Berlin Heidelberg

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Brandouy, O., Mathieu, P., Veryzhenko, I. (2012). Optimal Portfolio Diversification? A Multi-agent Ecological Competition Analysis. In: Pérez, J., et al. Highlights on Practical Applications of Agents and Multi-Agent Systems. Advances in Intelligent and Soft Computing, vol 156. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-28762-6_39

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  • DOI: https://doi.org/10.1007/978-3-642-28762-6_39

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-28761-9

  • Online ISBN: 978-3-642-28762-6

  • eBook Packages: EngineeringEngineering (R0)

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