[1M4-J-13] AI application: industries and markets

[1M4-J-13-03] Analysis of the Impact of the Rule for Investment Diversification on Investment Performance using a Multi-Agent Simulation

〇Isao Yagi¹, Takanobu Mizuta² (1. Kanagawa Institute of Technology, 2. SPARX Asset Management Co., Ltd.)

Keywords:finance, multi-agent simulation, rule for investment diversification, artificial market

In recent years the risk of mutual funds has become difficult to assess. Therefore the rule for investment diversification for mutual funds was established to prevent assumption of unforeseen risk by investors. Some papers discussed that the rule for investment diversification affected price formation at the time of a market crash and at the time of a soaring market. However, we cannot find that it affects investment performances of investor in such situations. In this paper, we investigated that the rule for investment diversification affected investment performance of investors in financial markets where two types of investors who followed the rule and did not follow it participated at the time of stable, crashing, and soaring markets using agent-based simulations. As results, we found that the investment performances of investors who followed the rule were worse than those of investors who did not follow it in the soaring market.