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An active agent portfolio algorithm
RISE, Swedish ICT, SICS, Decisions, Networks and Analytics lab.ORCID iD: 0000-0001-7949-1815
Number of Authors: 32003 (English)In: Artificial intelligence and computer science, Nova publishers , 2003, 1, p. 123-134Chapter 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. p. 123-134
National Category
Computer and Information Sciences
Identifiers
URN: urn:nbn:se:ri:diva-20988ISBN: 1 59454 411 5 (print)OAI: oai:DiVA.org:ri-20988DiVA, id: diva2:1041022
Available from: 2016-10-31 Created: 2016-10-31 Last updated: 2018-01-17Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
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