What is the “value” of value-at-risk in a simulated portfolio decision-making game?

Matjaz Steinbacher

MPRA Paper from University Library of Munich, Germany

Abstract: In 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.

Keywords: social networks; portfolio decision-making; stochastic finance; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: C73 G11 G32 Z13 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-gth, nep-net and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:13866

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