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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Steinbacher, Matjaz (2009): What is the “value” of value-at-risk in a simulated portfolio decision-making game?
Classification:	G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure ; Z13 - Social Norms and Social Capital ; C73 - Stochastic and Dynamic Games
Source:	BASE

Persistent link: https://www.econbiz.de/10015215946