Decision Making Support Mechanism of Portfolio Selection in Multiple Period Consumption and Investment Model

Koji Okuhara ； Junko Shibata ； Nobuyuki Ueno ； Hiroaki Ishii

《Asia Pacific Management Review》 10卷3期 (2005/06) Pp. 169-173

https://doi.org/10.6126/APMR.2005.10.3.02

並列摘要

In this study, we analyze the portfolio selection in multiple period consumption and investment model that constructs an artificial market. In the model, there exist non-risk assets and risk assets in the market. Each agent determines redistribution of present property for maximizing the expected utility of consumption based on own judgment. Rational actions of investors who take part in the market are virtually realized on a computer by applying reinforcement learning to agents. Moreover, we propose a decision making support mechanism of portfolio selection by using reinforcement learning.

並列關鍵字

Portfolio selection ； Artificial market ； Reinforcement learning ； Multiple period consumption ； Investment model

參考文獻

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