Financial Equilibrium

  • Anna Nagurney
Part of the Advances in Computational Economics book series (AICE, volume 10)

Abstract

Financial applications have provided in the past several decades a stimulus for the development of both modeling and methodological advances. Financial theory, in particular, dating to the seminal work of Markowitz (1959) and Sharpe (1970), has built a strong platform for both scholarly investigations and, ultimately, empirical practice. The introduction of new technologies and financial instruments, coupled with the complexity of the economic interactions and the scale and scope of financial problems, identify this problem domain as one in which computational research will continue to play a pivotal role.

Keywords

Utility Function Variational Inequality Policy Intervention Variational Inequality Problem Financial Equilibrium 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Cohen, J., The Flow of Funds in Theory and Practice, Financial and Monetary Studies 15, Kluwer Academic Publishers, Dordrecht, The Netherlands, 1987.CrossRefGoogle Scholar
  2. Dong, J., “General financial equilibrium with policy interventions: A variational inequality approach,” Annals of Operations Research 44 (1993) 227–241.CrossRefGoogle Scholar
  3. Dong, J., Zhang, D., and Nagurney, A., “A projected dynamical systems model of general financial equilibrium with stability analysis,” Mathematical and Computer Modelling 24 (1996) 35–44.CrossRefGoogle Scholar
  4. Duffle, D., Security Markets, Academic Press, New York, 1988.Google Scholar
  5. Elton, E. J., and Gruber, M. J., editors, Portfolio Theory, 25 Years After, Studies in the Management Sciences 11, North-Holland, Amsterdam, The Netherlands, 1979.Google Scholar
  6. Francis, J. C., “Portfolio analysis of asset and liability management in small-, medium-, and large-sized banks, Journal of Monetary Economics 3 (1978) 112–134.Google Scholar
  7. Francis, J. C., and Archer, S. H., Portfolio Analysis, Prentice-Hall, Englewood Cliffs, New Jersey, 1979.Google Scholar
  8. Markowitz, H. M., Portfolio Selection: Efficient Diversification of Investments, John Wiley Sons, New York, 1959.Google Scholar
  9. Nagurney, A., “Variational inequalities in the analysis and computation of multi-sector, multi-instrument financial equilibria,” Journal of Economic Dynamics and Control 18 (1994) 161–184.CrossRefGoogle Scholar
  10. Nagurney, A., Dong, J., and Hughes, M., “Formulation and computation of general financial equilibrium,” Optimization 26 (1992) 339–354.CrossRefGoogle Scholar
  11. Nagurney, A., and Siokos, S., Financial Networks: Statics and Dynamics, Springer-Verlag, Berlin, Germany, 1997.Google Scholar
  12. Quesnay, F., Tableau Economique, 1758, reproduced in facsimile with an introduction by H. Higgs by the British Economic Society, 1895.Google Scholar
  13. Sharpe, W., Portfolio Theory and Capital Markets, McGraw-Hill Book Company, New York, 1970.Google Scholar
  14. Szego, G., Portfolio Theory: with Application to Bank Asset Management, Academic Press, New York, 1980.Google Scholar
  15. Thore, S., “Credit networks,” Economica 36 (1969) 42–55.CrossRefGoogle Scholar
  16. Thore, S., “Programming a credit network under uncertainty,” Journal of Money, Banking, and Finance 2 (1970) 219–246.Google Scholar
  17. Thore, S., and Kydland, F., “Dynamic flow of funds networks,” in Applications of Management Science in Banking and Finance, S. Eilon and T. R. Fowkes, editors, Epping, England, 1972.Google Scholar

Copyright information

© Springer Science+Business Media Dordrecht 1999

Authors and Affiliations

  • Anna Nagurney
    • 1
  1. 1.University of MassachusettsAmherstUSA

Personalised recommendations