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Authors:
Hiroshi Takahashi
Keywords: Finance; Agent-based Modelling; Behavioral Economics; Overconfidence; Asset Management
Abstract:
This article analyzes the effectiveness of investment strategies through agent-based modeling. In this analysis, we will focus on the performance of a passive investment strategy (which is one of the most popular investment strategies in the asset management business) under conditions where overconfident investors trade. As a result of intensive experimentation, it was concluded that overconfident investors could achieve a positive excess return in the market where there are no passive investors. However, our agent-based simulation shows that overconfident investor could not 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.
Pages: 1 to 6
Copyright: Copyright (c) IARIA, 2014
Publication date: March 23, 2014
Published in: conference
ISSN: 2308-4375
ISBN: 978-1-61208-329-2
Location: Barcelona, Spain
Dates: from March 23, 2014 to March 27, 2014