What is the “value” of value-at-risk in a simulated portfolio decision-making game?
AbstractIn the paper, I simulate the social network games of a portfolio selection where agents consider VaR when managing their portfolios. Such agents behave quite differently from the agents considering only the expected returns of the alternatives that are available to them in time. The level of omniscience of agents and the presence of liquidity agents are demonstrated to be significant factors for the portfolio management.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 13866.
Date of creation: 2009
Date of revision:
social networks; portfolio decision-making; stochastic finance; Value-at-Risk;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- 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-2009-03-14 (All new papers)
- NEP-GTH-2009-03-14 (Game Theory)
- NEP-NET-2009-03-14 (Network Economics)
- NEP-RMG-2009-03-14 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Levine's Working Paper Archive
7656, David K. Levine.
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- Steinbacher, Matjaz, 2009. "Behavior of Investors on a Multi-Asset Market," MPRA Paper 15898, University Library of Munich, Germany.
- Steinbacher, Matjaz, 2009. "Value-at-Risk versus Non-Value-at-Risk Traders," MPRA Paper 14295, University Library of Munich, Germany.
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