IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v171y2016i1d10.1007_s10957-016-0973-3.html
   My bibliography  Save this article

The Financial Equilibrium Problem with a Markowitz-Type Memory Term and Adaptive Constraints

Author

Listed:
  • Patrizia Daniele

    (University of Catania)

  • Mariagrazia Lorino

    (University of Catania)

  • Cristina Mirabella

    (University of Catania)

Abstract

In this paper, we generalize the Markowitz measure of the risk proposed in a stationary setting. We provide an evolutionary Markowitz-type measure of the risk with a memory term and show that this function is effective, namely an existence theorem for the general financial problem can be proved.

Suggested Citation

  • Patrizia Daniele & Mariagrazia Lorino & Cristina Mirabella, 2016. "The Financial Equilibrium Problem with a Markowitz-Type Memory Term and Adaptive Constraints," Journal of Optimization Theory and Applications, Springer, vol. 171(1), pages 276-296, October.
    • Handle: RePEc:spr:joptap:v:171:y:2016:i:1:d:10.1007_s10957-016-0973-3
    DOI: 10.1007/s10957-016-0973-3
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10957-016-0973-3
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10957-016-0973-3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Duffie, Darrell & Zame, William, 1989. "The Consumption-Based Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 57(6), pages 1279-1297, November.
    2. Annamaria Barbagallo & Patrizia Daniele & Mariagrazia Lorino & Antonino Maugeri & Cristina Mirabella, 2014. "A Variational Approach to the Evolutionary Financial Equilibrium Problem with Memory Terms and Adaptive Constraints," Springer Optimization and Its Applications, in: Valery A. Kalyagin & Panos M. Pardalos & Themistocles M. Rassias (ed.), Network Models in Economics and Finance, edition 127, pages 13-23, Springer.
    3. A. Nagurney, 2001. "Finance and variational inequalities-super-," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 309-317, March.
    4. Nagurney, Anna, 1994. "Variational inequalities in the analysis and computation of multi-sector, multi-instrument financial equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 18(1), pages 161-184, January.
    5. 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.
    6. P. Daniele & S. Giuffè & M. Lorino & A. Maugeri & C. Mirabella, 2014. "Functional Inequalities and Analysis of Contagion in the Financial Networks," Springer Optimization and Its Applications, in: Themistocles M. Rassias (ed.), Handbook of Functional Equations, edition 127, pages 129-146, Springer.
    7. Patrizia Daniele & Sofia Giuffrè, 2015. "Random Variational Inequalities and the Random Traffic Equilibrium Problem," Journal of Optimization Theory and Applications, Springer, vol. 167(1), pages 363-381, October.
    8. Barbagallo, Annamaria & Daniele, Patrizia & Giuffrè, Sofia & Maugeri, Antonino, 2014. "Variational approach for a general financial equilibrium problem: The Deficit Formula, the Balance Law and the Liability Formula. A path to the economy recovery," European Journal of Operational Research, Elsevier, vol. 237(1), pages 231-244.
    9. Patrizia Daniele & Sofia Giuffrè & Mariagrazia Lorino, 2016. "Functional inequalities, regularity and computation of the deficit and surplus variables in the financial equilibrium problem," Journal of Global Optimization, Springer, vol. 65(3), pages 575-596, July.
    10. P. Daniele & A. Maugeri & W. Oettli, 1999. "Time-Dependent Traffic Equilibria," Journal of Optimization Theory and Applications, Springer, vol. 103(3), pages 543-555, December.
    11. Patrizia Daniele, 2006. "Dynamic Networks and Evolutionary Variational Inequalities," Books, Edward Elgar Publishing, number 3516.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Patrizia Daniele & Sofia Giuffrè & Mariagrazia Lorino, 2016. "Functional inequalities, regularity and computation of the deficit and surplus variables in the financial equilibrium problem," Journal of Global Optimization, Springer, vol. 65(3), pages 575-596, July.
    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. Barbagallo, Annamaria & Daniele, Patrizia & Giuffrè, Sofia & Maugeri, Antonino, 2014. "Variational approach for a general financial equilibrium problem: The Deficit Formula, the Balance Law and the Liability Formula. A path to the economy recovery," European Journal of Operational Research, Elsevier, vol. 237(1), pages 231-244.
    4. Didier Aussel & Rachana Gupta & Aparna Mehra, 2016. "Evolutionary Variational Inequality Formulation of the Generalized Nash Equilibrium Problem," Journal of Optimization Theory and Applications, Springer, vol. 169(1), pages 74-90, April.
    5. Toyasaki, Fuminori & Daniele, Patrizia & Wakolbinger, Tina, 2014. "A variational inequality formulation of equilibrium models for end-of-life products with nonlinear constraints," European Journal of Operational Research, Elsevier, vol. 236(1), pages 340-350.
    6. Patrizia Daniele & Sofia Giuffrè, 2015. "Random Variational Inequalities and the Random Traffic Equilibrium Problem," Journal of Optimization Theory and Applications, Springer, vol. 167(1), pages 363-381, October.
    7. E. Allevi & A. Gnudi & I. V. Konnov & G. Oggioni, 2018. "Evaluating the effects of environmental regulations on a closed-loop supply chain network: a variational inequality approach," Annals of Operations Research, Springer, vol. 261(1), pages 1-43, February.
    8. Elisabetta Allevi & Adriana Gnudi & Igor V. Konnov & Giorgia Oggioni, 2017. "Dynamic Spatial Auction Market Models with General Cost Mappings," Networks and Spatial Economics, Springer, vol. 17(2), pages 367-403, June.
    9. 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.
    10. Antonino Maugeri & Laura Scrimali, 2016. "A New Approach to Solve Convex Infinite-Dimensional Bilevel Problems: Application to the Pollution Emission Price Problem," Journal of Optimization Theory and Applications, Springer, vol. 169(2), pages 370-387, May.
    11. Laura Scrimali & Cristina Mirabella, 2018. "Cooperation in pollution control problems via evolutionary variational inequalities," Journal of Global Optimization, Springer, vol. 70(2), pages 455-476, February.
    12. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    13. Anna Nagurney & Qiang Qiang, 2008. "An efficiency measure for dynamic networks modeled as evolutionary variational inequalities with application to the Internet and vulnerability analysis," Netnomics, Springer, vol. 9(1), pages 1-20, January.
    14. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 19(1), pages 113-185, March.
    15. B. Djafari Rouhani & B. Ahmadi Kakavandi, 2006. "Infinite Time-Dependent Network Equilibria with a Multivalued Cost Function," Journal of Optimization Theory and Applications, Springer, vol. 131(3), pages 405-415, December.
    16. Alexis Derviz, 2002. "The uncovered parity properties of the czech koruna," Prague Economic Papers, Prague University of Economics and Business, vol. 2002(1), pages 17-37.
    17. Riedel, Frank, 2005. "Generic determinacy of equilibria with local substitution," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 603-616, August.
    18. P. Q. Khanh & L. M. Luu, 2004. "On the Existence of Solutions to Vector Quasivariational Inequalities and Quasicomplementarity Problems with Applications Break to Traffic Network Equilibria," Journal of Optimization Theory and Applications, Springer, vol. 123(3), pages 533-548, December.
    19. Lan Zhao & Jishan Zhu, 2010. "Internet Marketing Budget Allocation: From Practitioner'S Perspective," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 9(05), pages 779-797.
    20. J. Li & G. Mastroeni, 2016. "Image Convexity of Generalized Systems with Infinite-Dimensional Image and Applications," Journal of Optimization Theory and Applications, Springer, vol. 169(1), pages 91-115, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:171:y:2016:i:1:d:10.1007_s10957-016-0973-3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.