Behavior of Investors on a Multi-Asset Market
This paper analyzes the field of investors’ decision-making on a multi-asset market. It does it through a simulation games on a social network framework. It has been demonstrated that more stocks there are in the game and more changing alternatives investors have available to choose from, tougher it is for them to make decisions. Despite in most simulations the safest alternative was dominant, many investors opt for portfolio of the safest and the riskiest stock, by which they back the risk they take with some safe stocks. Non-omniscient investors behave chaotically. In all the cases, liquidity agents proved to be decisive elements of the games, though not always able to deliver the information of all the alternatives when too many alternatives are available.
|Date of creation:||Jun 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Bala, Venkatesh & Goyal, Sanjeev, 1998.
"Learning from Neighbours,"
Review of Economic Studies,
Wiley Blackwell, vol. 65(3), pages 595-621, July.
- Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 1998. "Learning from the Behavior of Others: Conformity, Fads, and Informational Cascades," Journal of Economic Perspectives, American Economic Association, vol. 12(3), pages 151-170, Summer.
- Hirshleifer, David, 2001.
"Investor Psychology and Asset Pricing,"
5300, University Library of Munich, Germany.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Kahneman, Daniel & Tversky, Amos, 1979.
"Prospect Theory: An Analysis of Decision under Risk,"
Econometric Society, vol. 47(2), pages 263-91, March.
- Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
- Steinbacher, Matjaz, 2009. "What is the “value” of value-at-risk in a simulated portfolio decision-making game?," MPRA Paper 13866, University Library of Munich, Germany.
- Martin J. Osborne & Ariel Rubinstein, 2005. "Bargaining and Markets," Levine's Bibliography 666156000000000515, UCLA Department of Economics.
- Steinbacher, Matjaz, 2009. "The Role of Liquidity Individuals in the Decision-Making," MPRA Paper 13566, University Library of Munich, Germany.
- Levine, David K. & Pesendorfer, Wolfgang, 2007. "The evolution of cooperation through imitation," Games and Economic Behavior, Elsevier, vol. 58(2), pages 293-315, February.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:15898. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.