A player who controls multiple Investigators may trade Items or Evidence between their own Investigators if those Investigators are adjacent, following the same rules as trading between Investigators controlled by different players.

This is supported by the following points:

• On page 6, it states: "When a player controls 2 or more Investigators, each Investigator a player controls is considered to have their own turn. Essentially, you play as if you are two separate players, each a separate instance of [you], playing as their own Investigator."
• On page 8, under "Interact and Items," it says: "Trade any Items or Evidence with adjacent Investigators."

There is no restriction mentioned that prevents trading between Investigators controlled by the same player. The rules treat each Investigator as a separate entity for all purposes, including trading.

Source: pages 6 and 8.

Source: Core Rules (pp. 10, 14, 16, 6, 8)