Evolutionary variational inequalities applied to financial equilibrium problems in an environment of risk and uncertainty

被引：9

作者：

Daniele, P. ^{[1
]}

机构：

[1] Univ Catania, Dept Math & Comp Sci, I-95125 Catania, Italy

来源：

NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS | 2005年 / 63卷 / 5-7期

关键词：

Evolutionary variational inequalities; Projected dynamical systems; Utility function; Risk aversion;

D O I：

10.1016/j.na.2004.12.006

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we present an evolutionary model for multi-sector, multi-instrument financial equilibrium problems. In particular, we consider the case in which the variance-covariance matrices or, more generally, the utility function associated with risk perception, the financial volumes held by the sectors, the optimal portfolio composition and the instrument prices are time-dependent. (C) 2005 Elsevier Ltd. All rights reserved.

引用

页码：E1645 / E1653

页数：9

共 50 条

[1] Variational inequalities for evolutionary financial equilibrium
Daniele, P
[J]. INNOVATIONS IN FINANCIAL AND ECONOMIC NETWORKS, 2003, : 84 - 109
[2] Variational inequalities for general evolutionary financial equilibrium
Daniele, P
[J]. VARIATIONAL ANALYSIS AND APPLICATIONS, 2005, 79 : 279 - 299
[3] A merit function for variational inequalities applied to equilibrium problems
Corradi G.
[J]. Computational Economics, 2001, 18 (03) : 273 - 285
[4] Some equilibrium problems under uncertainty and random variational inequalities
Joachim Gwinner
Fabio Raciti
[J]. Annals of Operations Research, 2012, 200 : 299 - 319
[5] Some equilibrium problems under uncertainty and random variational inequalities
Gwinner, Joachim
Raciti, Fabio
[J]. ANNALS OF OPERATIONS RESEARCH, 2012, 200 (01) : 299 - 319
[6] Evolutionary problems driven by variational inequalities
Liu, Zhenhai
Zeng, Shengda
Motreanu, Dumitru
[J]. JOURNAL OF DIFFERENTIAL EQUATIONS, 2016, 260 (09) : 6787 - 6799
[7] Equilibrium problems and noncoercive variational inequalities
Chadli, O
Chbani, Z
Riahi, H
[J]. OPTIMIZATION, 2001, 50 (1-2) : 17 - 27
[8] Regularity results for evolutionary nonlinear variational and quasi-variational inequalities with applications to dynamic equilibrium problems
Barbagallo, Annamaria
[J]. JOURNAL OF GLOBAL OPTIMIZATION, 2008, 40 (1-3) : 29 - 39
[9] Regularity results for evolutionary nonlinear variational and quasi-variational inequalities with applications to dynamic equilibrium problems
Annamaria Barbagallo
[J]. Journal of Global Optimization, 2008, 40 : 29 - 39
[10] Quasimonotonicity and pseudomonotonicity in variational inequalities and equilibrium problems
Hadjisavvas, N
Schaible, S
[J]. GENERALIZED CONVEXITY, GENERALIZED MONOTONICITY: RECENT RESULTS, 1998, 27 : 257 - 275

← 1 2 3 4 5 →