Analyzing the efficacy of passive investment strategies through agent-based modelling: Overconfident investors and investors with better predictive power

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This study analyses the efficacy of a passive investment strategy - which is one of the most popular investment strategies in the asset management business - thorough agent-based modelling. As a result of intensive experimentation, the following conclusions were confirmed: (1) overconfident investors could achieve a positive excess return in the market where there are no passive investors. However, (2) even if overconfident investors have better predictive power, they couldn’t survive in a market where passive investors exist. These results suggest the effectiveness of a passive investment strategy. The results are of both academic interest and practical use.

Original languageEnglish
Title of host publicationAgent and Multi-Agent Systems: Technologies and Applications - the 8th International Conference KES-AMSTA 2014, Proceedings
PublisherSpringer Verlag
Pages203-212
Number of pages10
Volume296
ISBN (Print)9783319076492
DOIs
Publication statusPublished - 2014
Event8th KES Conference on Agent and Multi Agent Systems - Technologies and Applications, KES-AMSTA 2014 - Chania, Greece
Duration: 2014 Jun 182014 Jun 20

Publication series

NameAdvances in Intelligent Systems and Computing
Volume296
ISSN (Print)21945357

Other

Other8th KES Conference on Agent and Multi Agent Systems - Technologies and Applications, KES-AMSTA 2014
CountryGreece
CityChania
Period14/6/1814/6/20

Keywords

  • Agent-based Modelling
  • Asset Management
  • Behavioral Economics
  • Finance
  • Overconfidence

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science(all)

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  • Cite this

    Takahashi, H. (2014). Analyzing the efficacy of passive investment strategies through agent-based modelling: Overconfident investors and investors with better predictive power. In Agent and Multi-Agent Systems: Technologies and Applications - the 8th International Conference KES-AMSTA 2014, Proceedings (Vol. 296, pp. 203-212). (Advances in Intelligent Systems and Computing; Vol. 296). Springer Verlag. https://doi.org/10.1007/978-3-319-07650-8_21