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

Patrizia Daniele (), Mariagrazia Lorino () and Cristina Mirabella ()
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Patrizia Daniele: University of Catania
Mariagrazia Lorino: University of Catania
Cristina Mirabella: University of Catania

Journal of Optimization Theory and Applications, 2016, vol. 171, issue 1, No 14, 276-296

Abstract: 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.

Keywords: Financial problem; Equilibrium condition; Memory term; Adaptive constraint; Quasi-variational formulation; 90B15; 90B50 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10957-016-0973-3

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