Title: Analysing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints
Authors: Hiroshi Takahashi
Addresses: 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.
International Journal of Intelligent Systems Technologies and Applications, 2013 Vol.12 No.2, pp.111 - 127
Received: 06 Nov 2012
Accepted: 06 May 2013
Published online: 31 Aug 2013 *