Analysing the influence of dispersion of fundamentalists' valuations on the effectiveness of passive investment strategy under financial constraints

研究成果: Article査読

1 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)111-127
ページ数17
ジャーナルInternational Journal of Intelligent Systems Technologies and Applications
12
2
DOI
出版ステータスPublished - 2013

ASJC Scopus subject areas

  • Computer Science(all)

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