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.
|ジャーナル||International Journal of Intelligent Systems Technologies and Applications|
|出版ステータス||Published - 2013|
ASJC Scopus subject areas
- コンピュータ サイエンス（全般）