A quasi-variational inequality approach to the financial equilibrium problem

Laura Scrimali

No 2006108, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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.

Keywords: portfolio optimization; equilibrium condition; quasi-variational inequality (search for similar items in EconPapers)
Date: 2006-12
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2006108

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