Almberg, Wah-Sui and Boman, Magnus (2003) An active agent portfolio algorithm. In: Artificial intelligence and computer science. Nova publishers, pp. 123-134. ISBN 1 59454 411 5 (In Press)
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An algorithm for managing a portfolio of stocks using a trading agent is presented. A simulation game inspired by history-based Parrondo games is described. A performance measure is defined, with which various strategy mixes can be judged. Even when transaction costs are taken into account, active portfolio management (as opposed to Buy and Hold) is shown to be profitable.
|Item Type:||Book Section|
|Deposited By:||Userware Researcher|
|Deposited On:||01 Nov 2005|
|Last Modified:||18 Nov 2009 15:51|
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