Investigation of the rule for investment diversification at the time of a market crash using an artificial market simulation
Investigation of the rule for investment diversification at the time of a market crash using an artificial market simulation
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利用人工市场模拟研究市场崩盘时的投资多元化规则
DOI：
10.1007/s40844-017-0070-9
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发表时间：
2017
影响因子：
0.9
通讯作者：
and Takanobu Mizuta
中科院分区：
文献类型：
--
作者：
Isao Yagi;Atsushi Nozaki;and Takanobu Mizuta
近年来，随着金融产品的复杂性和风险复合程度的提高，投资者发现很难评估投资风险。此外，人们越来越期望管理共同基金的公司进行风险控制，从而防止投资者承担不可预见的风险。对日本共同基金法律制度的相关修订导致在2014年12月确立了所谓的“投资多元化规则”，但并未明确讨论其对市场价格形成的预期影响。因此，在本文中，我们使用一个人工市场来研究它对金融市场价格形成的影响，在金融市场中，投资者必须遵守由资产基本面价格暴跌导致的市场崩盘时的规则。结果我们发现，在两种资产的市场中，投资者必须遵循投资多元化的规则，当一种资产的基本价格暴跌，其市场价格也暴跌时，另一种资产的市场价格也会下跌。
As financial products have grown in complexity and level of risk compounding in recent years, investors have come to find it difficult to assess investment risk. Furthermore, companies managing mutual funds are increasingly expected to perform risk control and thus prevent assumption of unforeseen risk by investors. A related revision to the mutual fund legal system in Japan led to establishing what is known as “the rule for investment diversification” in December 2014, without a clear discussion of its expected effects on market price formation having taken place. In this paper, we therefore, used an artificial market to investigate its effects on price formation in financial markets where investors must follow the rule at the time of a market crash that was caused by the collapse of the asset fundamental price. As results, we found that, in a two-asset market where investors had to follow the rule for investment diversification, when the fundamental price of one asset collapsed and its market price also collapsed, the other asset market price also fell.