Knowledge, Preferences and Shocks in Portfolio Analysis

Matjaz Steinbacher

MPRA Paper from University Library of Munich, Germany

Abstract: We 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.

Keywords: social networks; stochastic finance; shocks; portfolio analysis (search for similar items in EconPapers)
JEL-codes: C73 G11 Z13 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-knm and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:13567

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