The financial equilibrium problem with implicit budget constraints

Laura Scrimali ()

Central European Journal of Operations Research, 2008, vol. 16, issue 2, 203 pages

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. Copyright Springer-Verlag 2008

Keywords: Portfolio optimization; Quasi-variational inequality; Equilibrium conditions (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s10100-007-0046-7

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