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題名:Decision Making Support Mechanism of Portfolio Selection in Multiple Period Consumption and Investment Model
書刊名:Asia Pacific Management Review
作者:Okuhara, KojiShibata, JunkoUeno, NobuyukiIshii, Hiroaki
出版日期:2005
卷期:10:3
頁次:頁169-173
主題關鍵詞:Portfolio selectionArtificial marketReinforcement learningMultiple period consumptionInvestment model
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:21
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.
期刊論文
1.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
2.Palmer, R. G.、Arthurb, W. Brian、Hollandc, John H.、LeBarond, Blake、Tayler, Paul(1994)。Artificial Economic Life: A Simple Model of a Stockmarket。Physica D,75(1-3),264-274。  new window
3.Doya, Kenji(2000)。Reinforcement Learning in Continuous Time and Space。Neural Computation,12(1),219-245。  new window
4.Sutton, Richard S.、Barto, Andrew G.、Anderson, Charles W.(1983)。Neuronlike Adaptive Elements that Can Solve Difficult Learning Control Problems。IEEE Transactions on System, Man, and Cybernetics,13(5),835-846。  new window
會議論文
1.Kato, K.、Sakawa, M.、Shibata, J.、Okuhara, K.(2004)。Reaction of Trader Agent with Reinforcement Learning Mechanism in Artificial Market by Multi-agents System。0。  new window
圖書
1.Sutton, R. S.、Barto, A. G.(1998)。Reinforcement learning: An introduction。MIT Press。  new window
2.Konno, H.、Furukawa, K.(1997)。Finance Handbook: Asakura Syoten。Finance Handbook: Asakura Syoten。0。  new window
 
 
 
 
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