Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context*
Uloženo v:
| Hlavní autor: | |
|---|---|
| Datum vydání: | 2019 |
| Další autoři: | , |
| Médium: | Article |
| Jazyk: | eng |
| Zdroj: | Repositório Institucional da UnB |
| Download full: | 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 |
Shrnutí: | 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 exchange participation, economic segment, and technical analysis), portfolio rebalance period, and stop gain/loss option. We use Brazilian markets data from 2006 to 2017 to simulate stochastic distributions of investments by a set of 3,000 agents in both stages of model verification and validation (robustness check). Using the Capital Asset Pricing Model, we confirmed our proposition that the optimal rational risk attitude (less risk appetite) constitutes a trigger for the self-fulfilling dynamic, having its foundation on government securities yield and in the debt dynamics. This finding is contrary to the equity premium puzzle in the Brazilian case. The findings have implications to policymakers regarding systemic risk issues, among other public policies. |
| _version_ | 1871442302037131264 |
|---|---|
| author | Rosa, Paulo Sérgio |
| author2 | Gartner, Ivan Ricardo Ralha, Célia Ghedini |
| author2_role | author author |
| author_browse | Gartner, Ivan Ricardo Ralha, Célia Ghedini Rosa, Paulo Sérgio |
| author_facet | Rosa, Paulo Sérgio Gartner, Ivan Ricardo Ralha, Célia Ghedini |
| author_role | author |
| bitstream.checksum.fl_str_mv | 65a29f16ee458585ef497c368ab20076 |
| bitstream.checksumAlgorithm.fl_str_mv | MD5 |
| bitstream.url.fl_str_mv | http://repositorio2.unb.br/jspui/bitstream/10482/36304/1/ARTIGO_MultiAgentBased.pdf |
| collection | Repositório Institucional da UnB |
| dc.contributor.author.fl_str_mv | Rosa, Paulo Sérgio Gartner, Ivan Ricardo Ralha, Célia Ghedini |
| dc.date.accessioned.fl_str_mv | 2020-01-24T10:30:12Z |
| dc.date.available.fl_str_mv | 2020-01-24T10:30:12Z |
| dc.date.issued.fl_str_mv | 2019 |
| dc.identifier.citation.fl_str_mv | ROSA, Paulo Sérgio; GARTNER, Ivan Ricardo; RALHA, Célia Ghedin. Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context*. Pesquisa Operacional, v. 39, n. 1, p. 57-84, 2019. DOI: https://doi.org/10.1590/0101-7438.2019.039.01.0057. Disponível em: http://scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382019000100003. Acesso em: 23 jan. 2020. |
| dc.identifier.doi.pt_BR.fl_str_mv | https://doi.org/10.1590/0101-7438.2019.039.01.0057 |
| dc.identifier.orcid.none.fl_str_mv | http://orcid.org/0000-0003-4481-1916 |
| dc.identifier.uri.fl_str_mv | https://repositorio.unb.br/handle/10482/36304 |
| dc.language.iso.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Sociedade Brasileira de Pesquisa Operacional |
| dc.rights.driver.fl_str_mv | (CC BY) info:eu-repo/semantics/openAccess |
| dc.source.none.fl_str_mv | reponame:Repositório Institucional da UnB instname:Universidade de Brasília (UnB) instacron:UNB |
| dc.subject.keyword.pt_BR.fl_str_mv | Investimentos Modelo Baseado em Agente (MBA) Dívida pública Ciclo de destruição Risco sistêmico |
| dc.title.pt_BR.fl_str_mv | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* |
| dc.type.driver.fl_str_mv | info:eu-repo/semantics/article |
| dc.type.status.fl_str_mv | info:eu-repo/semantics/publishedVersion |
| description | 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 exchange participation, economic segment, and technical analysis), portfolio rebalance period, and stop gain/loss option. We use Brazilian markets data from 2006 to 2017 to simulate stochastic distributions of investments by a set of 3,000 agents in both stages of model verification and validation (robustness check). Using the Capital Asset Pricing Model, we confirmed our proposition that the optimal rational risk attitude (less risk appetite) constitutes a trigger for the self-fulfilling dynamic, having its foundation on government securities yield and in the debt dynamics. This finding is contrary to the equity premium puzzle in the Brazilian case. The findings have implications to policymakers regarding systemic risk issues, among other public policies. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | UNB_49d8a2dc1c8d441f323363272c3be9d0 |
| identifier_str_mv | ROSA, Paulo Sérgio; GARTNER, Ivan Ricardo; RALHA, Célia Ghedin. Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context*. Pesquisa Operacional, v. 39, n. 1, p. 57-84, 2019. DOI: https://doi.org/10.1590/0101-7438.2019.039.01.0057. Disponível em: http://scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382019000100003. Acesso em: 23 jan. 2020. |
| instacron_str | UNB |
| institution | UNB |
| instname_str | Universidade de Brasília (UnB) |
| language | eng |
| network_acronym_str | UNB |
| network_name_str | Repositório Institucional da UnB |
| oai_identifier_str | oai:repositorio.unb.br:10482/36304 |
| publishDate | 2019 |
| publishDateSort | 2019 |
| publisher.none.fl_str_mv | Sociedade Brasileira de Pesquisa Operacional |
| reponame_str | Repositório Institucional da UnB |
| repository.mail.fl_str_mv | repositorio@unb.br |
| repository.name.fl_str_mv | Repositório Institucional da UnB - Universidade de Brasília (UnB) |
| repository_id_str | |
| rights_invalid_str_mv | (CC BY) |
| spelling | Rosa, Paulo SérgioGartner, Ivan RicardoRalha, Célia Ghedini2020-01-24T10:30:12Z2020-01-24T10:30:12Z2019ROSA, Paulo Sérgio; GARTNER, Ivan Ricardo; RALHA, Célia Ghedin. Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context*. Pesquisa Operacional, v. 39, n. 1, p. 57-84, 2019. DOI: https://doi.org/10.1590/0101-7438.2019.039.01.0057. Disponível em: http://scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382019000100003. Acesso em: 23 jan. 2020.https://repositorio.unb.br/handle/10482/36304https://doi.org/10.1590/0101-7438.2019.039.01.0057http://orcid.org/0000-0003-4481-1916Sociedade Brasileira de Pesquisa Operacional(CC BY)info:eu-repo/semantics/openAccessMulti-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context*info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleInvestimentosModelo Baseado em Agente (MBA)Dívida públicaCiclo de destruiçãoRisco sistêmicoThis 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 exchange participation, economic segment, and technical analysis), portfolio rebalance period, and stop gain/loss option. We use Brazilian markets data from 2006 to 2017 to simulate stochastic distributions of investments by a set of 3,000 agents in both stages of model verification and validation (robustness check). Using the Capital Asset Pricing Model, we confirmed our proposition that the optimal rational risk attitude (less risk appetite) constitutes a trigger for the self-fulfilling dynamic, having its foundation on government securities yield and in the debt dynamics. This finding is contrary to the equity premium puzzle in the Brazilian case. The findings have implications to policymakers regarding systemic risk issues, among other public policies.Faculdade de Economia, Administração, Contabilidade e Gestão de Políticas Públicas (FACE)Programa de Pós-Graduação em Administraçãoengreponame:Repositório Institucional da UnBinstname:Universidade de Brasília (UnB)instacron:UNBORIGINALARTIGO_MultiAgentBased.pdfapplication/pdf1672729http://repositorio2.unb.br/jspui/bitstream/10482/36304/1/ARTIGO_MultiAgentBased.pdf65a29f16ee458585ef497c368ab20076MD51open access10482/363042023-10-19 15:43:34.574open accessoai:repositorio.unb.br:10482/36304Repositório InstitucionalPUBhttps://repositorio.unb.br/oai/requestrepositorio@unb.bropendoar:2023-10-19T18:43:34Repositório Institucional da UnB - Universidade de Brasília (UnB) |
| spellingShingle | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* Rosa, Paulo Sérgio Investimentos Modelo Baseado em Agente (MBA) Dívida pública Ciclo de destruição Risco sistêmico |
| status_str | publishedVersion |
| title | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* |
| title_full | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* |
| title_fullStr | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* |
| title_full_unstemmed | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* |
| title_short | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* |
| title_sort | Multi-agent based modeling applied to portfolio selection in the doom-loop of sovereign debt context* |
| topic | Investimentos Modelo Baseado em Agente (MBA) Dívida pública Ciclo de destruição Risco sistêmico |
| url | 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 |