New existence theorems for quasi-variational inequalities and applications to financial models

Carla Ciarcià and Patrizia Daniele

European Journal of Operational Research, 2016, vol. 251, issue 1, 288-299

Abstract: In this paper we present a financial economy in the case when the financial volumes depend on time and on the expected solution, in order to take into account the influence of the expected equilibrium distribution for assets and liabilities on the investments on all financial instruments. We derive the quasi-variational formulation which characterizes the equilibrium of the dynamical financial model. The main result of the paper is a general existence theorem for quasi-variational inequalities under general assumptions, which is also applied to the financial model. We also recall some concepts on the infinite dimensional duality and study some numerical examples.

Keywords: Financial problem; Equilibrium condition; Variational inequality formulation; Evaluation index (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221715010267
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:251:y:2016:i:1:p:288-299

DOI: 10.1016/j.ejor.2015.11.013

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().