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Evaluation of Transaction Risks of Mean Variance Model Under Identical Variance of the Rate of Return - Simulation in Artificial Market.

Ko IshiyamaShusuke KomuroHideki TanumaYusuke KoyamaHiroshi Deguchi
Published in: AIS (2004)
Keyphrases
  • statistical model
  • computational model
  • simulation model
  • evaluation model
  • real world
  • objective function
  • multi agent systems
  • probability distribution
  • evaluation method
  • simulation data
  • diffusion model