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ThinkMind // eKNOW 2014, The Sixth International Conference on Information, Process, and Knowledge Management // View article eknow_2014_1_10_60094


Analyzing the Effectiveness of Investment Strategies through Agent-based Modelling: Overconfident Investment Decision Making and Passive Investment Strategies

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

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