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For a conclusion, it's very inconclusive. :) "Crucially, we find that the nonlinearity of the problem leads to multiple local optima, so that very different op
by erikstarck 9y ago
For a conclusion, it's very inconclusive. :)
"Crucially, we find that the nonlinearity of the problem leads to multiple local optima, so that very different optimal portfolios can exist simultaneously, and the global optimum
switches instantaneously between them as parameters change. This means that inside a critical region of parameter space a small change in one of the parameters can lead to a very significant change in the optimal portfolio."
- tinco 9y agoDoesn't that just mean that it's impossible to manage a technology portfolio in a cost efficient way? So the only way to manage a technology portfolio would be to simply try to juggle as many as you can, eliminating them randomly as you are resource constrained?
- AnimalMuppet 9y agoIt means it's very difficult to maintain the global maximum for a technology portfolio. You are at the global maximum, and at the drop of a hat that converts to a local maximum. That could still be pretty good, though. It could still be cost efficient - just not the best that is possible.
- dmichulke 9y ago> a small change in one of the parameters can lead to a very significant change in the optimal portfolio. Isn't that the definition of chaotic?
- qubex 9y agoNo. This is high sensitivity to parameters. Chaos is ergodic behaviour.
- andreareina 9y agoFrom https://en.wikipedia.org/wiki/Chaos_theory https://en.wikipedia.org/wiki/Chaos_theory Chaos theory is a branch of mathematics focused on the behavior of dynamical systems that are highly sensitive to initial conditions. Many of the visualizations of chaotic behavior in the wiki don't exhibit ergodic behavior.
- qubex 9y agoSensitive dependence on parameters ≠︎ sensitive dependence on initial conditions