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.
The Financial Equilibrium Problem with a Markowitz-Type Memory Term and Adaptive Constraints
DANIELE, Patrizia;
2016-01-01
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.File in questo prodotto:
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