Munich Personal RePEc Archive

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

Steinbacher, Matjaz (2009): What is the “value” of value-at-risk in a simulated portfolio decision-making game?

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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.

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