The financial equilibrium problem with implicit budget constraints
type: Item
instance of: scholarly article
title: The financial equilibrium problem with implicit budget constraints
zbMATH Open document ID: 1145.91028
published in: CEJOR. Central European Journal of Operations Research
publication date: 2008-09-03T00:00:00Z
review text: The paper under review deals with the problem of time-dependent multi-agent portfolio optimization in the case when budget constraints are explicitely defined. To investigate the problem, the infinite dimensional quasi-variational inequalities are used. The attention is focused on the most general case of the solved problem, namely the one of non quadratic utility functions, and not fixed wealth. Then, budget constraints of agents depending on the equilibrium activity return are implicitely defined. The main results include the proof of the equivalence between financial equilibrium vector, and a solution to an opportune quasi-variational inequality which is formulated as a theorem, as well.
reviewed by: Milan Mareš
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5320582
zbMATH Keywords: portfolio optimization
zbMATH Keywords: quasi-variational inequality
zbMATH Keywords: equilibrium conditions
zbMATH Keywords: budget constraints
author: Laura R. M. Scrimali
MaRDI profile type: Publication
full work available at URL: s10100-007-0046-7
OpenAlex ID: W2025178695
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DOI: 10.1007/S10100-007-0046-7
description: scientific article; zbMATH DE number 5320582