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Contributions to Game Theory and Management, 2015, том 8, страницы 99–110
(Mi cgtm260)
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Consistent conjectural variations equilibrium in an optimal portfolio model
Vyacheslav V. Kalashnikovabc, Nataliya I. Kalashnykovad, Felipe J. Castillo-Péreza a Tecnológico de Monterrey, (ITESM), Campus Monterrey,
Department of Systems and Industrial Engineering (IIS),
Ave. Eugenio Garza Sada 2501 Sur, Monterrey, Nuevo León, Mexico, 64849
b Sumy State University (SumDU), Department of Applied Mathematics, Rimsky-Korsakov st. 2, Sumy, Ukraine, 40007
c Central Economics and Mathematics Institute (CEMI),
Laboratory of Social Modeling,
Nakhimovsky prospekt 47, Moscow, Russian Federation, 117418
d Universidad Autónoma de Nuevo León (UANL),
Facultad de Ciencias Físico-Matemáticas (FCFM),
Ave. Universidad S/N, San Nicolás de los Garza, Nuevo León, Mexico, 66450
Аннотация:
In this paper, a general multi-sector, multi-instrument model of financial flows and prices is developed, in which the utility function for each sector is assumed to be quadratic, while the constraints satisfy a certain identity that appears in flow-of-funds accounts. Each sector uses conjectures about its influence upon the prices of the instruments. The equilibrium conditions are first derived, and then the governing variational inequality problems are deduced. Subsequently, a qualitative analysis of the model is conducted, and a concept of consistent conjectures is introduced and examined as well.
Ключевые слова:
conjectural variations equilibrium, consistent conjectures, consistent equilibrium, optimal portfolio models.
Образец цитирования:
Vyacheslav V. Kalashnikov, Nataliya I. Kalashnykova, Felipe J. Castillo-Pérez, “Consistent conjectural variations equilibrium in an optimal portfolio model”, Contributions to Game Theory and Management, 8 (2015), 99–110
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/cgtm260 https://www.mathnet.ru/rus/cgtm/v8/p99
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Страница аннотации: | 168 | PDF полного текста: | 91 | Список литературы: | 59 |
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