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Rational decisions, random matrices and spin glasses

Listed author(s):
  • Galluccio, Stefano
  • Bouchaud, Jean-Philippe
  • Potters, Marc

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 Lévy-like (long-ranged) couplings, for which we show that the ground state is not exponentially degenerate.

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File URL: http://www.sciencedirect.com/science/article/pii/S037843719800332X
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 259 (1998)
Issue (Month): 3 ()
Pages: 449-456

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Handle: RePEc:eee:phsmap:v:259:y:1998:i:3:p:449-456
DOI: 10.1016/S0378-4371(98)00332-X
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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