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A quasi-variational inequality approach to the financial equilibrium problem

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  • SCRIMALI, Laura

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.

Suggested Citation

  • SCRIMALI, Laura, 2006. "A quasi-variational inequality approach to the financial equilibrium problem," LIDAM Discussion Papers CORE 2006108, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:2006108
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp2006.html
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    References listed on IDEAS

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    1. Ralf Korn, 1998. "Portfolio optimisation with strictly positive transaction costs and impulse control," Finance and Stochastics, Springer, vol. 2(2), pages 85-114.
    2. D. Chan & J. S. Pang, 1982. "The Generalized Quasi-Variational Inequality Problem," Mathematics of Operations Research, INFORMS, vol. 7(2), pages 211-222, May.
    3. 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.
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    Cited by:

    1. Houyuan Jiang & Zhan Pang, 2011. "Network capacity management under competition," Computational Optimization and Applications, Springer, vol. 50(2), pages 287-326, October.
    2. Nancy Solis-García & José Guadalupe Flores-Muñiz & Vladik Kreinovich & Nataliya Kalashnykova & Viacheslav Kalashnikov, 2022. "Consistent Conjectural Variations Equilibrium for a Financial Model," Journal of Optimization Theory and Applications, Springer, vol. 194(3), pages 966-987, September.
    3. Rachana Gupta & Aparna Mehra, 2012. "Gap functions and error bounds for quasi variational inequalities," Journal of Global Optimization, Springer, vol. 53(4), pages 737-748, August.

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