By Aki-Hiro Sato (auth.), Shu-Heng Chen, Takao Terano, Ryuichi Yamamoto (eds.)
Agent-based modeling/simulation is an emergent method of the research of social and financial structures. It presents a bottom-up experimental strategy to be utilized to social sciences corresponding to economics, administration, sociology, and politics in addition to a few engineering fields facing social actions. This publication contains chosen papers provided on the 6th overseas Workshop on Agent-Based methods in monetary and Social advanced structures held in Taipei in 2009. we've got 39 shows within the convention, and 14 papers are chosen to be integrated during this quantity. those 14 papers are then grouped into six elements: Agent-based monetary markets; monetary forecasting and funding; Cognitive modeling of brokers; Complexity and coverage research; Agent-based modeling of excellent societies; and Miscellany. The learn provided right here exhibits the cutting-edge during this swiftly growing to be field.
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Extra info for Agent-Based Approaches in Economic and Social Complex Systems VI: Post-Proceedings of The AESCS International Workshop 2009
Szeto Abstract The effect of short time correlation in stock prices on a two-stock portfolio under the framework of Mean Variance Analysis is investigated. The theory of Markowitz on portfolio management, based on a long time scale analysis of return and variance, is first optimized over a selection of pair of stocks from the Hang Seng Index and then corrected by the return of short time scales of the stocks. Several choices of short time returns, from 1 to 5 days in the past, are studied. The cumulative return is highest when the returns of the two-stock portfolio in the past 2 days are included in the correction to the “modified Sharpe ratio”.
1%, and over a period of 620 days, the loss can be really great). During the months of financial tsunami (September–October 2008), the stock price and Hang Seng Index nosedive while our portfolio strategy is more or less immune to the crash, because we mainly keep cash. Our strategy initiates a timely withdrawal from the stock market, so that large loss is avoided. From November 2008 onward, the cumulative return is growing in pace with the stock price variation, indicating that during that rising period, the strategy can keep up with an early sign of bull market and take profits by investing in pair of good stocks, at a good combination provided by mean variance analysis with two time scales.
Szeto acknowledges the support of the grant CERG 602506 and 602507. References 1. Markowitz H (1952) J Finance 7:77 2. Horasanl M, Fidan N (2007) Portfolio selection by using time varying covariance matrices. J Econ Soc Res 9(2):1 3. Hakansson NH (1971) J Finance 26:857 4. Maccheroni F (2009) Portfolio selection with monotone mean-variance preferences. Math Finance 19:487 5. Campbell J, Viceira L (2002) Strategic asset allocation-portfolio choice for long-term investors Clarendon Lectures in Economics.