The financial equilibrium problem with implicit budget constraints
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.
scientific article; zbMATH DE number 5320582