In this paper we present an evolutionary model for multi-sector, multi-instrument financial equilibrium problems. In particular, we consider the case in which the variance–covariance matrices or, more generally, the utility function associated with risk perception, the financial volumes held by the sectors, the optimal portfolio composition and the instrument prices are time-dependent.
Evolutionary Variational Inequalities Applied to Financial Equilibrium Problems in an Environment of Risk and Uncertainty
DANIELE, Patrizia
2005-01-01
Abstract
In this paper we present an evolutionary model for multi-sector, multi-instrument financial equilibrium problems. In particular, we consider the case in which the variance–covariance matrices or, more generally, the utility function associated with risk perception, the financial volumes held by the sectors, the optimal portfolio composition and the instrument prices are time-dependent.File in questo prodotto:
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