Individual and Multiagent Four - Dimensional Assets Portfolio Selection
Luis F. Copertari

A mathematical theory in order to extract additional information from historical assets prices (Internal Rate of Return or IRR, ranking, and risk) is provided, which is used to ascertain how well test subjects acting as decision-makers decide upon the best portfolio they can choose, working individually or in groups when compared to the “optimal” portfolio obtained using a zero-one integer programming model. Both quantitative (price, IRR and risk) and qualitative (ranking) information are provided by the interface, allowing the test subjects to decide which of the four dimensions (asset price, IRR, ranking or risk) are plotted, two at a time. The interface has been specifically designed to allow decision makers to make strategic considerations.

Full Text: PDF     DOI: 10.15640/smq.v2n3-4a2