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An active agent portfolio algorithm
RISE, Swedish ICT, SICS. Userware.
Number of Authors: 3
2003 (English)In: Artificial intelligence and computer science, Nova publishers , 2003, 1, 123-134 p.Chapter in book (Refereed)
Abstract [en]

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.

Place, publisher, year, edition, pages
Nova publishers , 2003, 1. 123-134 p.
National Category
Computer and Information Science
Identifiers
URN: urn:nbn:se:ri:diva-20988ISBN: 1 59454 411 5 (print)OAI: oai:DiVA.org:ri-20988DiVA: diva2:1041022
Available from: 2016-10-31 Created: 2016-10-31Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
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