Multiagent cooperative search for portfolio selection

We present a new multiagent model for the multiperiod portfolio selection p roblem. A system of cooperative agents divide initial wealth and follow ind ividual worst-case optimal investment strategies from random portfolios, sh aring their final profits and losses. The multiagent system achieves better average-case performance than a single agent with the same initial wealth in a simple stochastic market. A further increase in performance is achieve d through communication of hints between agents and probabilistic strategy- switching. However, this explicit cooperation is redundant in a market that approximates the Capital Asset pricing Model, a model of equilibrium stock price dynamics. (C) 2001 Academic Press.