Articlegreen2010

Simulating Security Markets in Dynamic and Equilibrium Modes

Bruce I. Jacobs · Kenneth N. Levy · Harry M. Markowitz

21 citations0/0 files storedFinancial Analysts Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

An asynchronous discrete-time model run in “dynamic mode” can model the effects on market prices of changes in strategies, leverage, and regulations, or the effects of different return estimation procedures and different trading rules. Run in “equilibrium mode,” it can be used to arrive at equilibrium expected returns.

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1958Liquidity Preference as Behavior Towards Risk 1963A Simplified Model for Portfolio Analysis 1992Global Portfolio Optimization 1991Continuous-Time Finance.1979Approximating Expected Utility by a Function of Mean and Variance 2001Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation.2000Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena 1989Investment rules, margin, and market volatility

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