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Value-at-Risk versus Non-Value-at-Risk Traders

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  • Steinbacher, Matjaz

Abstract

In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents in the game. Simulations highlighted the level of omniscience, next being the rule, which agents follow at the decision-making, and the third the presence of liquidity agents in the game. Omniscient agents make different decisions than non-omniscient agents with non-omniscient return-rule agents performed a little better than the omniscient return-rule agents did, and omniscient VaR-rule agents performed slightly better than non-omniscient VaR-rule agents did. VaR-rule agents clearly outperform return-rule agents, with omniscient return-rule agents performing the worst. The role of liquidity agents has proved to be very significant with none of the two observed performed worst in the neither case.

Suggested Citation

  • Steinbacher, Matjaz, 2009. "Value-at-Risk versus Non-Value-at-Risk Traders," MPRA Paper 14295, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:14295
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    social networks; portfolio decision-making; stochastic finance; Value-at-Risk;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Z13 - Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification
    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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