演講者簡介 : 楊茹惠女士為Ph.D. Candidate in Financial Economics，University of Cambridge (Ph.D. expected May 2004)。
其主要研究領域為Agent-Based Modelling、Market Microstructure 及Behavioural Finance。
演講摘要 : I develop a Markov model of smart money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations are derived using constant transition probabilities. The results suggest that downside risk is significantly attributed to investor overreaction, even though a small degree of investment movement as opposed to capital immobility can in fact stabilize the market. Furthermore, performance sensitivity makes it possible that two much-debated fund styles, passive indexing and active management, are simultaneously profitable. If money is insensitive, the model becomes a zero-sum game where one strategy’s profitability is always at the cost of the other.
