Adaptive portfolio selection by investment groups

摘要

We present a new investment group model for the portfolio selection problem. Members of the group adjust their portfolio as they observe movements of the market over time and communicate to each other their current portfolio and its recent performance. Investors can choose to switch to any portfolio performing better than their own. We show that a group of adaptive investors will outperform a single adaptive investor for a simple market model. Furthermore, a group of investors can improve their performance through communication. Finally we show that communication is redundant in an extended market model that includes efficiency-constraints on correlations between stock price dynamics.