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

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.

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Year of publication:	2009
Authors:	Steinbacher, Matjaz
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	social networks \| portfolio decision-making \| stochastic finance \| Value-at-Risk

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure ; Z13 - Social Norms and Social Capital ; C73 - Stochastic and Dynamic Games
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005790145