Static Imperfect Market Models

Anna Nagurney and Stavros Siokos
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Anna Nagurney: University of Massachusetts
Stavros Siokos: University of Massachusetts

Chapter 9 in Financial Networks, 1997, pp 250-277 from Springer

Abstract: Abstract The study of financial equilibrium is concerned with the formulation, qualitative analysis, and computation of solutions to problems that consist of multiple sectors in an economy, each of which can hold multiple financial instruments and seeks to determine his optimal portfolio. In addition, the sectors are often subject to a variety of government regulations and policy interventions, and encounter costs of transacting. An appropriate mathematical framework should be sufficiently general to enable the incorporation of alternative policy interventions for evaluation purposes, be theoretically justified, and, at the same time, be computationally tractable. Finally, the theoretical framework should allow for eventual empirical testing.

Keywords: Utility Function; Variational Inequality; Transaction Cost; Variational Inequality Problem; Capital Asset Price Model (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1007/978-3-642-59066-5_9

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