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

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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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Correspondence to Patrizia Daniele.

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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

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