MULTI-AGENT BASED MODELING APPLIED TO PORTFOLIO SELECTION IN THE DOOM-LOOP OF SOVEREIGN DEBT CONTEXT*

MULTI-AGENT BASED MODELING APPLIED TO PORTFOLIO SELECTION IN THE DOOM-LOOP OF SOVEREIGN DEBT CONTEXT*

ABSTRACT This study explores the self-fulfilling dynamic between sovereign debt risk and rational choices of neutral, risk-seeking and risk-averse investors, with implications to the systemic risk emergence. The agent-based model parameterization includes investment strategy (randomly selected asset...

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Bibliographic Details
Main Authors: Paulo Sérgio Rosa, Ivan Ricardo Gartner, Célia Ghedini Ralha
Format: Article
Language:English
Published: Sociedade Brasileira de Pesquisa Operacional 2019-05-01
Series:Pesquisa Operacional
Subjects:
portfolio selection
agent-based model
sovereign debt
doom-loop
systemic risk
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382019000100003&lng=en&tlng=en

Internet

http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382019000100003&lng=en&tlng=en

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