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 |
| 巻 | 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 4 → 2004 10 6 |
Other
| Other | 13th International Conference on AIS 2004 |
|---|---|
| 国 | Korea, Republic of |
| 市 | Jeju Island |
| 期間 | 04/10/4 → 04/10/6 |
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ASJC Scopus subject areas
- Hardware and Architecture
これを引用
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
}
TY - GEN
T1 - Evaluation of transaction risks of mean variance model under identical variance of the rate of return - Simulation in artificial market
AU - Ishiyama, Ko
AU - Komuro, Shusuke
AU - Tanuma, Hideki
AU - Koyama, Yusuke
AU - Deguchi, Hiroshi
PY - 2005
Y1 - 2005
N2 - 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.
AB - 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.
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UR - http://www.scopus.com/inward/citedby.url?scp=26844498445&partnerID=8YFLogxK
M3 - Conference contribution
AN - SCOPUS:26844498445
VL - 3397
SP - 42
EP - 49
BT - Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science)
A2 - Kim, T.G.
ER -