Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context*
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 assets, stock...
| Main Authors: | Rosa, Paulo Sérgio, Gartner, Ivan Ricardo, Ralha, Célia Ghedini |
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| Format: | Artigo |
| Language: | English |
| Published: |
Sociedade Brasileira de Pesquisa Operacional
2020
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| Subjects: | |
| Online Access: |
https://repositorio.unb.br/handle/10482/36304 https://doi.org/10.1590/0101-7438.2019.039.01.0057 http://orcid.org/0000-0003-4481-1916 |
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