Reinforcement Learning in Repeated Portfolio Decisions

Research, Preprint OPEN
Linan Diao; Jörg Rieskamp;
  • Publisher: Univ. [u.a.] Jena
  • Subject: Anlageverhalten | G11 | reinforcement learning model | repeated portfolio decisions | correlation | Portfolio-Management | C91 | Betriebliche Investitionspolitik | repeated portfolio decisions, reinforcement learning model, correlation | D83
    • jel: jel:G11 | jel:C91 | jel:D83
      ddc: ddc:330

How do people make investment decisions when they receive outcome feedback? We examined how well the standard mean-variance model and two reinforcement models predict people's portfolio decisions. The basic reinforcement model predicts a learning process that relies sol... View more
  • References (12)
    12 references, page 1 of 2

    Kroll, Yoram; Haim Levy and Amnon Rapoport. 1988. "Experimental Tests of the Mean Variance Model for Portfolio Selection." Organizational Behavior and Human Decision Processes, 42(3), 388-410.

    Kroll, Yoram; Haim Levy and Amnon Rapoport. 1988. "Experimental Tests of the Separation Theorem and the Capital-Asset Pricing Model." American Economic Review, 78(3), 500- 19.

    Lipe, M. G. 1998. "Individual Investors' Risk Judgments and Investment Decisions: The Impact of Accounting and Market Data." Accounting Organizations and Society, 23(7), 625-40.

    Markowitz, Harry. 1952. "Portfolio Selection." The Journal of Finance, 7(1), 77-91.

    Markowitz, Harry. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: Wiley.

    Nelder, J. A. and R. Mead. 1965. "A Simplex-Method for Function Minimization." Computer Journal, 7(4), 308-13.

    Rieskamp, Jorg. 2006. "Positive and Negative Recency Effects in Retirement Savings Decisions." Journal of Experimental Psychology-Applied, 12(4), 233-50.

    Rieskamp, Jorg; Jerome R. Busemeyer and Tei Laine. 2003. "How Do People Learn to Allocate Resources? Comparing Two Learning Theories." Journal of Experimental PsychologyLearning Memory and Cognition, 29(6), 1066-81.

    Shimokawa, Tetsuya; Kyoko Suzuki; Tadanobu Misawa and Yoshitaka Okano. 2009. "Predicting Investment Behavior: An Augmented Reinforcement Learning Model." Neurocomputing, 72(16-18), 3447-61.

    Sutton, Richard S. and Andrew G. Barto. 1998. “Reinforcement Learning: An Introduction.” Cambridge: MIT Press.

  • Metrics
Share - Bookmark