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The Financial Equilibrium Problem with a Markowitz-Type Memory Term and Adaptive Constraints

Journal of Optimization Theory and Applications volume 171, pages 276–296 (2016)Cite this article

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.

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Acknowledgments

The research of the first author was partially supported by INdAM GNAMPA Project 2015: Nuove frontiere dei problemi di equlibrio su rete: dallo sviluppo sostenibile alla dinamica dei disastri ambientali ai crimini informatici. This support is gratefully acknowledged.

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Authors and Affiliations

  1. University of Catania, Catania, Italy

    Patrizia Daniele, Mariagrazia Lorino & Cristina Mirabella

Authors
  1. Patrizia Daniele
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  2. Mariagrazia Lorino
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  3. Cristina Mirabella
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Corresponding author

Correspondence to Patrizia Daniele.

Additional information

Communicated by Jean-Pierre Crouzeix.

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Daniele, P., Lorino, M. & Mirabella, C. The Financial Equilibrium Problem with a Markowitz-Type Memory Term and Adaptive Constraints. J Optim Theory Appl 171, 276–296 (2016). https://doi.org/10.1007/s10957-016-0973-3

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  • DOI: https://doi.org/10.1007/s10957-016-0973-3

Keywords

  • Financial problem
  • Equilibrium condition
  • Memory term
  • Adaptive constraint
  • Quasi-variational formulation

Mathematics Subject Classification

  • 90B15
  • 90B50