Rational decisions, random matrices and spin glasses

Stefano Galluccio, Jean-Philippe Bouchaud and Marc Potters

Physica A: Statistical Mechanics and its Applications, 1998, vol. 259, issue 3, 449-456

Abstract: 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.

Date: 1998
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Citations: View citations in EconPapers (30)

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Related works:
Working Paper: Rational Decisions, Random Matrices and Spin Glasses (1998)
Working Paper: Rational decisions, random matrices and spin glasses (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:259:y:1998:i:3:p:449-456

DOI: 10.1016/S0378-4371(98)00332-X

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