Add to ORKGIn 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
Risk management is practiced in many financial institutions and one of the most commonly used risk m...
During the past few years, there have been several studies for portfolio management. One of the prim...
Financial institutions around the world use value-at-risk (VaR) models to manage their market risk a...
In the paper, I simulate the social network games of a portfolio selection where agents consider VaR...
In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of a...
A social network has been used to simulate how agents of different levels of risk aversion under dif...
This paper analyzes the field of investors’ decision-making on a multi-asset market. It does it thro...
We simulate social network games of a portfolio selection to analyze how knowledge, preferences of a...
Value at Risk (VaR) is the worst possible loss in an investment in a reasonable bound. VaR is widely...
We simulate social network games of a portfolio selection to analyze the role of liquidity individua...
To imagine that asset pricing is not dependant on a complex form of behavioural heuristics and inter...
In its most general form, risk can he defined as the possibility an outcome will differ from expecta...
ABSTRACTThe thesis work documented here, is a study of basic methods for estimating Value at Risk, w...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
This paper is an introduction to the measurement of market risk in financial markets, with examples ...
Risk management is practiced in many financial institutions and one of the most commonly used risk m...
During the past few years, there have been several studies for portfolio management. One of the prim...
Financial institutions around the world use value-at-risk (VaR) models to manage their market risk a...
In the paper, I simulate the social network games of a portfolio selection where agents consider VaR...
In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of a...
A social network has been used to simulate how agents of different levels of risk aversion under dif...
This paper analyzes the field of investors’ decision-making on a multi-asset market. It does it thro...
We simulate social network games of a portfolio selection to analyze how knowledge, preferences of a...
Value at Risk (VaR) is the worst possible loss in an investment in a reasonable bound. VaR is widely...
We simulate social network games of a portfolio selection to analyze the role of liquidity individua...
To imagine that asset pricing is not dependant on a complex form of behavioural heuristics and inter...
In its most general form, risk can he defined as the possibility an outcome will differ from expecta...
ABSTRACTThe thesis work documented here, is a study of basic methods for estimating Value at Risk, w...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
This paper is an introduction to the measurement of market risk in financial markets, with examples ...
Risk management is practiced in many financial institutions and one of the most commonly used risk m...
During the past few years, there have been several studies for portfolio management. One of the prim...
Financial institutions around the world use value-at-risk (VaR) models to manage their market risk a...