Portfolio choice decision making with NBP-effSAMWMIX: A Stochastic Multi-Armed Bandit Algorithm using Naïve Bandit Portfolio Approach

Show simple item record

dc.contributor.author Villari, Boby Chaitanya
dc.contributor.author Abdulla, Mohammed Shahid
dc.date.accessioned 2017-05-18T10:35:38Z
dc.date.available 2017-05-18T10:35:38Z
dc.date.issued 2017-01
dc.identifier.citation Associate Professor of IT & Systems Area, IIM Kozhikode en_US
dc.identifier.uri http://hdl.handle.net/2259/934
dc.description.abstract Portfolio Selection Problem (PSP) is actively discussed in financial research. The choice of available assets poses the need for exploration and the objective to maximize the portfolio payoffs makes the PCP an explore-exploit decision-making problem. Multi-armed bandit algorithms (MAB) suit well for such problems when applied as the decision engines in Naïve Bandit Portfolio algorithms (NBP). An NBP’s performance varies by varying the MAB inside the algorithm. In this work we test a Stochastic Multi-Armed Bandit (SMAB) named effSAMWMIX, which we proposed in a previous work of ours, to solve the PSP. We compare the performance of effSAMWMIX vis-à-vis KL-UCB, Thompson Sampling algorithm and the benchmark Market Buy & Hold strategy. We tested the algorithms on simulated and real-world market datasets. We report our results where effSAMWMIX, applied as the decision-making engine of NBP, has achieved better cumulative wealth for all portfolios when compared to the competing SMAB algorithms. en_US
dc.language.iso en en_US
dc.publisher Indian Institute of Management en_US
dc.relation.ispartofseries ;IIMK/WPS/219/ITS/2017/03
dc.subject Portfolio Selection Problem en_US
dc.subject Multi-Armed Bandit en_US
dc.subject Geometric Brownian Motion en_US
dc.title Portfolio choice decision making with NBP-effSAMWMIX: A Stochastic Multi-Armed Bandit Algorithm using Naïve Bandit Portfolio Approach en_US
dc.type Working Paper en_US


Files in this item

This item appears in the following Collection(s)

  • 2017 [6]
    Working Papers Published in the year 2017

Show simple item record

Search DSpace


Browse

My Account