Evaluation of transaction risks of mean variance model under identical variance of the rate of return - Simulation in artificial market

Ko Ishiyama, Shusuke Komuro, Hideki Tanuma, Yusuke Koyama, Hiroshi Deguchi

研究成果: Conference contribution

1 引用 (Scopus)

抄録

Mean Variance (MV) model has spread through institutional investors as one of the most typical diversified investment model. MV model defines the investment risks with the variance of the rate of return. Therefore, if any variances of two portfolios are equal, MV model will judge that the investment risks are identical. However, even if variances are equal, two different risk cases will occur. One is just depended on market volume. The other is fully depended on speculators who raise stock prices when institutional investors are purchasing stocks. Consequently, the latter makes institutional investors pay excessive transaction costs. Development of ABM (Agent Based Modeling) in recent years makes it possible to analyze this kind of problem by simulation. In this paper, we formulate a financial market model where institutional investors and speculators trade twenty stocks simultaneously. Results of simulation show that even if variances are equal, investment risks are not identical.

元の言語English
ホスト出版物のタイトルLecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science)
編集者T.G. Kim
ページ42-49
ページ数8
3397
出版物ステータスPublished - 2005
外部発表Yes
イベント13th International Conference on AIS 2004 - Jeju Island, Korea, Republic of
継続期間: 2004 10 42004 10 6

Other

Other13th International Conference on AIS 2004
Korea, Republic of
Jeju Island
期間04/10/404/10/6

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Purchasing
Costs
Financial markets

ASJC Scopus subject areas

  • Hardware and Architecture

これを引用

Ishiyama, K., Komuro, S., Tanuma, H., Koyama, Y., & Deguchi, H. (2005). Evaluation of transaction risks of mean variance model under identical variance of the rate of return - Simulation in artificial market. : T. G. Kim (版), Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science) (巻 3397, pp. 42-49)

Evaluation of transaction risks of mean variance model under identical variance of the rate of return - Simulation in artificial market. / Ishiyama, Ko; Komuro, Shusuke; Tanuma, Hideki; Koyama, Yusuke; Deguchi, Hiroshi.

Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 版 / T.G. Kim. 巻 3397 2005. p. 42-49.

研究成果: Conference contribution

Ishiyama, K, Komuro, S, Tanuma, H, Koyama, Y & Deguchi, H 2005, Evaluation of transaction risks of mean variance model under identical variance of the rate of return - Simulation in artificial market. : TG Kim (版), Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 巻. 3397, pp. 42-49, 13th International Conference on AIS 2004, Jeju Island, Korea, Republic of, 04/10/4.
Ishiyama K, Komuro S, Tanuma H, Koyama Y, Deguchi H. Evaluation of transaction risks of mean variance model under identical variance of the rate of return - Simulation in artificial market. : Kim TG, 編集者, Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 巻 3397. 2005. p. 42-49
Ishiyama, Ko ; Komuro, Shusuke ; Tanuma, Hideki ; Koyama, Yusuke ; Deguchi, Hiroshi. / Evaluation of transaction risks of mean variance model under identical variance of the rate of return - Simulation in artificial market. Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science). 編集者 / T.G. Kim. 巻 3397 2005. pp. 42-49
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