Analyzing the influence of market conditions on the effectiveness of smart beta

研究成果: Conference contribution

1 被引用数 (Scopus)

抄録

Stock indices play a significant role in asset management business. Price indices are popular in practical business. However, recent empirical analyses suggest that a smart beta, which is proposed as a new stock index, could achieve a positive excess return. With these arguments in mind, this study analyzes the effectiveness of smart beta through agent-based modeling. As a result of intensive experiments in the market, I made the following finding that effectiveness of smart beta could be influenced by the extent of a diversity of investors’ behavior. These results are significant from both practical and academic viewpoints.

本文言語English
ホスト出版物のタイトルSmart Innovation, Systems and Technologies
出版社Springer Science and Business Media Deutschland GmbH
ページ417-426
ページ数10
38
ISBN(印刷版)9783319197272
DOI
出版ステータスPublished - 2015
イベント9th KES International Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2015 - Sorrento, Italy
継続期間: 2015 6 172015 6 19

出版物シリーズ

名前Smart Innovation, Systems and Technologies
38
ISSN(印刷版)21903018
ISSN(電子版)21903026

Other

Other9th KES International Conference on Agent and Multi-Agent Systems-Technologies and Applications, KES-AMSTA 2015
CountryItaly
CitySorrento
Period15/6/1715/6/19

ASJC Scopus subject areas

  • Computer Science(all)
  • Decision Sciences(all)

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