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Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior

Related publications (41)

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Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

Napat Rujeerapaiboon, Byung-Geun Choi

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...

2016

Structuring socio-technical complexity in infrastructure systems: an agent-based model

Reinier Verhoog, Amineh Ghorbani

In this paper we demonstrate how agent-based modelling can be used to understand the emergence of a new infrastructure system, more specifically, a biogas infrastructure in the Netherlands. The innovative element in our modelling approach is the use of MAI ...

2016

Control of agent swarms in random environments

Guillaume Adrien Sartoretti

The collective dynamic behavior of large groups of interacting autonomous agents (swarms) have inspired much research in both fundamental and engineering sciences. It is now widely acknowledged that the intrinsic nonlinearities due to mutual interactions c ...

EPFL2016

Essays in Information-Based Asset Pricing

Michael Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013

Modern Portfolio Theory Revisited

David Sébastien Morton de Lachapelle

In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...

EPFL2012

Discrete choice and microsimulation methods for agent-based land use modeling

Ricardo Daniel Hurtubia González

This thesis describes methods to model the land use component of an urban system. Specifi- cally, it proposes methods to model and simulate the location choice of agents (households or firms) and the formation of prices for real estate goods in a city. The ...

EPFL2012

Behavioral calibration and analysis of a large-scale travel microsimulation

Gunnar Flötteröd, Yu Chen

This article reports on the calibration and analysis of a fully disaggregate (agent-based) transport simulation for the metropolitan area of Zurich. The agent-based simulation goes beyond traditional transport models in that it equilibrates not only route ...

Springer US2012

Price impact and portfolio impact

Semyon Malamud

We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival ...

2011

Behavioral calibration and analysis of a large-scale travel microsimulation

Gunnar Flötteröd, Yu Chen

2010

Agent-Based Modeling of Mems Fluidic Self-Assembly

Massimo Mastrangeli

The dynamics of MEMS 3D fluidic self-assembly (FSA) was modeled using interactive software agents, i.e. by agent-based modeling (ABM). ABM enables realistic simulations of 3D FSA dynamics taking into account spatial parameters - hard to include in analytic ...

IEEE2010