@inproceedings{55562b883a314c9bbab16d44939227a3,
title = "Analyzing the efficacy of passive investment strategies through agent-based modelling: Overconfident investors and investors with better predictive power",
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{\textquoteright}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.",
keywords = "Agent-based Modelling, Asset Management, Behavioral Economics, Finance, Overconfidence",
author = "Hiroshi Takahashi",
year = "2014",
doi = "10.1007/978-3-319-07650-8_21",
language = "English",
isbn = "9783319076492",
volume = "296",
series = "Advances in Intelligent Systems and Computing",
publisher = "Springer Verlag",
pages = "203--212",
booktitle = "Agent and Multi-Agent Systems: Technologies and Applications - the 8th International Conference KES-AMSTA 2014, Proceedings",
note = "8th KES Conference on Agent and Multi Agent Systems - Technologies and Applications, KES-AMSTA 2014 ; Conference date: 18-06-2014 Through 20-06-2014",
}