Stefano Galluccio, Jean-Philippe Bouchaud, Marc Potters
Published 1998-01-21Version 1
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.
Disorder chaos in spin glasses
Robust non-ergodicity of ground state in the $β$ ensemble
Distribution of Schmidt-like eigenvalues for Gaussian Ensembles of the Random Matrix Theory
