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The financial equilibrium problem with implicit budget constraints

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  • Laura Scrimali

Abstract

This paper presents the time-dependent, multi-agent and multi-activity financial equilibrium problem when budget constraints are implicitly defined. Specifically, we assume that total wealth is elastic with respect to the optimal investment. Such a problem is formulated as an infinite dimensional quasi-variational inequality for which an existence result is given. Copyright Springer-Verlag 2008

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  • Laura Scrimali, 2008. "The financial equilibrium problem with implicit budget constraints," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 16(2), pages 191-203, June.
    • Handle: RePEc:spr:cejnor:v:16:y:2008:i:2:p:191-203
    DOI: 10.1007/s10100-007-0046-7
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    References listed on IDEAS

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    1. Stella C. Dafermos, 1972. "The Traffic Assignment Problem for Multiclass-User Transportation Networks," Transportation Science, INFORMS, vol. 6(1), pages 73-87, February.
    2. Jong-Shi Pang & Masao Fukushima, 2005. "Quasi-variational inequalities, generalized Nash equilibria, and multi-leader-follower games," Computational Management Science, Springer, vol. 2(1), pages 21-56, January.
    3. Anna Nagurney & David Parkes & Patrizia Daniele, 2007. "The Internet, evolutionary variational inequalities, and the time-dependent Braess paradox," Computational Management Science, Springer, vol. 4(4), pages 355-375, October.
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    Cited by:

    1. Shapour Heidarkhani & David Barilla & Giuseppe Caristi, 2023. "Quasivariational inequalities for dynamic competitive economic equilibrium problems in discrete time," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 277-304, June.
    2. Ciarcià, Carla & Daniele, Patrizia, 2016. "New existence theorems for quasi-variational inequalities and applications to financial models," European Journal of Operational Research, Elsevier, vol. 251(1), pages 288-299.
    3. Savin Treanţă, 2022. "Well-Posedness Results of Certain Variational Inequalities," Mathematics, MDPI, vol. 10(20), pages 1-15, October.
    4. Laura Scrimali, 2012. "Infinite Dimensional Duality Theory Applied to Investment Strategies in Environmental Policy," Journal of Optimization Theory and Applications, Springer, vol. 154(1), pages 258-277, July.

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