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...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Sociedade Brasileira de Pesquisa Operacional
2019-05-01
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Series: | Pesquisa Operacional |
Subjects: | |
Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382019000100003&lng=en&tlng=en |