Hirano, Masanori; Izumi, Kiyoshi; Shimada, Takashi; … - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-20
and used a new model with continuous double auction markets, stylized trading agents, and two kinds of portfolio trading … agents. Both portfolio trading agents had trading strategies incorporating Markowitz's portfolio optimization. Additionally …, one type of portfolio trading agent was under regulation. From the simulations, we found that portfolio optimization as …