TY - JOUR
T1 - Analysing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints
AU - Takahashi, Hiroshi
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
KW - Agent-based modelling
KW - Asset management
KW - Behavioural finance
KW - Finance
KW - Information economics
KW - Passive investment strategy
UR - http://www.scopus.com/inward/record.url?scp=84891950719&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84891950719&partnerID=8YFLogxK
U2 - 10.1504/IJISTA.2013.056206
DO - 10.1504/IJISTA.2013.056206
M3 - Article
AN - SCOPUS:84891950719
SN - 1740-8865
VL - 12
SP - 111
EP - 127
JO - International Journal of Intelligent Systems Technologies and Applications
JF - International Journal of Intelligent Systems Technologies and Applications
IS - 2
ER -