Title: Analysing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints
Author: Hiroshi Takahashi
Address: Keio University, 4-1-1 Hiyoshi, Kohoku-ku, Yokohama City, 223-8526, Japan
Abstract: This paper analyses the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints. As a result of intensive experiment, the following results were confirmed: (a) the degree of fundamental values' estimation accuracy affects the validity of passive investment strategy, (b) upper and lower constraints on tilting lead to the same results. These results are significant from both practical and academic view points.
Keywords: finance; asset management; passive investment strategy; agent-based systems; multi-agent systems; MAS; agent-based modelling; information economics; behavioural finance; financial constraints; fundamental values.
Int. J. of Intelligent Systems Technologies and Applications, 2013 Vol.12, No.2, pp.111 - 127
Submission date: 31 Oct 2012
Date of acceptance: 06 May 2013
Available online: 30 Aug 2013