Knowledge, Preferences and Shocks in Portfolio Analysis
AbstractWe simulate social network games of a portfolio selection to analyze how knowledge, preferences of agents and their level of omniscience affect their decision-making. The key feature of the paper is that preferences and the level of omniscience of agents very much determine the ways agents make their decision. While omniscient agents respond very rapidly to the changing market conditions, non-omniscient agents are more resistant to such changes. By introducing one-time shock, we found that its efficiency depends on the level of omniscience of agents, with much stronger efficiency under omniscient agents.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 13567.
Date of creation: 2009
Date of revision:
social networks; stochastic finance; shocks; portfolio analysis;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- Z13 - Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Social and Economic Stratification
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-28 (All new papers)
- NEP-KNM-2009-02-28 (Knowledge Management & Knowledge Economy)
- NEP-NET-2009-02-28 (Network Economics)
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