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Article Dans Une Revue Journal of Statistical Mechanics: Theory and Experiment Année : 2021

A new spin on optimal portfolios and ecological equilibria

Résumé

We consider the classical problem of optimal portfolio construction with the constraint that no short position is allowed, or equivalently the valid equilibria of multispecies Lotka-Volterra equations, in the special case where the interaction matrix is of unit rank, corresponding to a single-resource MacArthur model. We compute the average number of solutions and show that its logarithm grows as N α , where N is the number of assets or species and α ≤ 2 3 depends on the interaction matrix distribution. We conjecture that the most likely number of solutions is much smaller and related to the typical sparsity m(N) of the solutions, which we compute explicitly. We also find that the solution landscape is similar to that of spin-glasses, i.e. very different configurations are quasi-degenerate. Correspondingly, "disorder chaos" is also present in our problem. We discuss the consequence of such a property for portfolio construction and ecologies, and question the meaning of rational decisions when there is a very large number "satisficing" solutions.
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Dates et versions

hal-03378915 , version 1 (14-10-2021)

Identifiants

Citer

Jerome Garnier-Brun, Michael Benzaquen, Stefano Ciliberti, Jean-Philippe Bouchaud. A new spin on optimal portfolios and ecological equilibria. Journal of Statistical Mechanics: Theory and Experiment, 2021, 2021 (9), pp.093408. ⟨10.1088/1742-5468/ac21d9⟩. ⟨hal-03378915⟩
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