TY - JOUR
T1 - Decentralized Robust Portfolio Optimization Based on Cooperative-Competitive Multiagent Systems
AU - Leung, Man Fai
AU - Wang, Jun
AU - Li, Duan
N1 - Funding Information:
This work was supported in part by the Research Grants Council of the Hong Kong Special Administrative Region of China, under Grant 11208517, Grant 11202019, and Grant 11200219; in part by the Open University of Hong Kong Research Grant (No. 2020/1.4); and in part by the Laboratory for AI-Powered Financial Technologies.
Publisher Copyright:
© 2013 IEEE.
PY - 2022/12/1
Y1 - 2022/12/1
N2 - This article addresses decentralized robust portfolio optimization based on multiagent systems. Decentralized robust portfolio optimization is first formulated as two distributed minimax optimization problems in a Markowitz return-risk framework. Cooperative-competitive multiagent systems are developed and applied for solving the formulated problems. The multiagent systems are shown to be able to reach consensuses in the expected stock prices and convergence in investment allocations through both intergroup and intragroup interactions. Experimental results of the multiagent systems with stock data from four major markets are elaborated to substantiate the efficacy of multiagent systems for decentralized robust portfolio optimization.
AB - This article addresses decentralized robust portfolio optimization based on multiagent systems. Decentralized robust portfolio optimization is first formulated as two distributed minimax optimization problems in a Markowitz return-risk framework. Cooperative-competitive multiagent systems are developed and applied for solving the formulated problems. The multiagent systems are shown to be able to reach consensuses in the expected stock prices and convergence in investment allocations through both intergroup and intragroup interactions. Experimental results of the multiagent systems with stock data from four major markets are elaborated to substantiate the efficacy of multiagent systems for decentralized robust portfolio optimization.
KW - Conditional value-at-risk (CVaR)
KW - decentralized robust portfolio selection
KW - distributed minimax optimization
KW - multiagent systems (MASs)
UR - http://www.scopus.com/inward/record.url?scp=85110873566&partnerID=8YFLogxK
U2 - 10.1109/TCYB.2021.3088884
DO - 10.1109/TCYB.2021.3088884
M3 - Article
C2 - 34260366
AN - SCOPUS:85110873566
SN - 2168-2267
VL - 52
SP - 12785
EP - 12794
JO - IEEE Transactions on Cybernetics
JF - IEEE Transactions on Cybernetics
IS - 12
ER -