Passive Investment Strategies and Efficient Markets

Passive Investment Strategies and Efficient Markets

This paper presents the case for and the evidence in favour of passive investment strategies and examines the major criticisms of the technique. I conclude that the evidence strongly supports passive investment management in all markets—smallcapitalisation stocks as well as large-capitalisation equities, US markets as well as international markets, and bonds as well as stocks. Recent attacks on...

Exploring Investment Strategies in Financial Markets through Agent-based Modeling: Active Investment Strategy and Passive Investment Strategy Exploring Investment Strategies in Financial Markets through Agent-based Modeling: Active Investment Strategy and Passive Investment Strategy

Recent progress of computer technology makes it possible to analyze financial and economic systems through simulation studies. Among them, agent-based modeling is promising. In this paper, using agentbased modeling from distributed artificial intelligence, I discuss the validity of passive investment strategies in financial markets where active investors who hold future information exist. As a ...

Passive Investment Strategies and Financial Bubbles

Investment Dynamics in Electricity Markets

We introduce a simple strategic dynamic model with random demand growth to investigate the incentives for capacity investments. We study Markovian equilibria where the firms’ decisions depend on the current capacity stock only. For these non-collusive equilibria, unexpected investments allow the firms to increase their market share, but they also generate excess capacity that drastically depres...

Securitization and Real Investment in Incomplete Markets

We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given reservation prices. The cash flows thus generated are not spanned by the securities traded in the fi...