Rational Decisions, Random Matrices and Spin Glasses

Stefano Galluccio, Jean-Philippe Bouchaud and Marc Potters ()
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Jean-Philippe Bouchaud: CEA-Saclay and Science et Finance

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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 generically exponentially large: rationality is thus de facto of limited use. In addition, this problem is related to spin glasses with L\'evy-like (long-ranged) couplings, for which we show that the ground state is not exponentially degenerate.

Date: 1998-01
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Citations: View citations in EconPapers (29)

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Related works:
Journal Article: 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:arx:papers:cond-mat/9801209

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