Rational decisions, random matrices and spin glasses
Rational decisions, random matrices and spin glasses
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DOI：
10.1016/s0378-4371(98)00332-x
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发表时间：
1998-10-15
期刊：
影响因子：
3.3
通讯作者：
Potters, M
中科院分区：
文献类型：
--
作者：
Galluccio, S;Bouchaud, JP;Potters, M
我们考虑了存在非线性约束的理性决策问题。通过借用自旋玻璃和随机矩阵理论中的工具，我们重点研究了投资组合优化问题。我们证明了最优解的数量通常是指数级的，并且每个解都是脆弱的：在这种有限使用的情况下，理性是存在的。此外，这个问题与具有类Levy(长程)耦合的自旋玻璃有关，对于这种耦合，我们证明了基态不是指数简并的。(C)1998年，爱思唯尔科学公司出版。保留所有权利。
We consider the problem of rational decision making in the presence of nonlinear constraints. By using tools borrowed from spin glass and random matrix theory, we focus on the portfolio optimisation problem. We show that the number of optimal solutions is generally exponentially large, and each of them is fragile: rationality is in this case of limited use. In addition, this problem is related to spin glasses with Levy-like (long-ranged) couplings, for which we show that the ground state is not exponentially degenerate. (C) 1998 Published by Elsevier Science B.V. All rights reserved.