Simulating Security Markets in Dynamic and Equilibrium Modes

Posted: 15 Oct 2010

See all articles by Bruce I. Jacobs, Ph.D.

Bruce I. Jacobs, Ph.D.

Jacobs Levy Equity Management

Kenneth N. Levy

Jacobs Levy Equity Management

Harry Markowitz

University of California at San Diego

Date Written: October 13, 2010

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.

Keywords: Quantitative Methods, Simulation Analysis, Portfolio Management

Suggested Citation

Jacobs, Bruce I. and Levy, Kenneth N. and Markowitz, Harry, Simulating Security Markets in Dynamic and Equilibrium Modes (October 13, 2010). Financial Analysts Journal, Vol. 66, No. 5, 2010. Available at SSRN: https://ssrn.com/abstract=1691761

Bruce I. Jacobs (Contact Author)

Jacobs Levy Equity Management ( email )

100 Campus Drive
P.O. Box 650
Florham Park, NJ 07932-0650
United States
973-410-9222 (Phone)
973-410-9333 (Fax)

HOME PAGE: https://jlem.com/who-we-are#/nav/founders

Kenneth N. Levy

Jacobs Levy Equity Management ( email )

100 Campus Drive
P.O. Box 650
Florham Park, NJ 07932-0650
United States
973-410-9222 (Phone)
973-410-9333 (Fax)

HOME PAGE: https://jlem.com/who-we-are#/nav/founders

Harry Markowitz

University of California at San Diego ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
(858) 534-3383 (Phone)

Register to save articles to
your library

Register

Paper statistics

Abstract Views
740
PlumX Metrics