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Property / DOI: 10.1007/s10107-014-0747-3 / rank
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Property / author: Alejandro Jofre / rank
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Property / author: R. Tyrrell Rockafellar / rank
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Property / author: Roger J.-B. Wets / rank
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Property / author: Alejandro Jofre / rank
 
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Property / author: R. Tyrrell Rockafellar / rank
 
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Property / author: Roger J.-B. Wets / rank
 
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Latest revision as of 18:55, 9 December 2024

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Convex analysis and financial equilibrium
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    Convex analysis and financial equilibrium (English)
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    18 December 2014
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    The authors develop a financial equilibrium model in which the agents are concerned only with the amounts of money which they will be able to secure for their use in the present and future under uncertainties. The present is represented by the state \(s=0\) and the future by a finite set of possible states \(s=1,\dots,S\). The agent \(i\) \((i=1,\dots,I)\) has utility \(u_i(m_{i0} ,m_{i1},\dots,m_{iS})\) with respect to having money amounts \(m_{is}\) in the states \(s=0,1,\dots,S\). She has an initial money amount \(m_{i0}^{0}>0\) and will get inputs \(m_{is}^{0}>0\) in the future, but can also take actions to supplement or redistribute these funds. One kind of action involves portfolios and another is borrowing or lending. There is a financial market in the buying and selling of assets that could be stocks and bonds or just shares in a future cash stream. Initially, the agent \({i}\) possesses the amount \(x_{ij}^{0} > 0\) of asset \(j=1,\dots,J\) but can trade it for a different amount \(x_{ij}\geq 0\) subject to budget constraints depending on the asset yield \(a_{js} \geq 0\), money lending rate \(r \geq 0\), and on the prices \(p=(p_1,\dots,p_J)\) at which assets are being traded. The agent \(i\) chooses a positive money vector \(m_i=(m_{i0},m_{i1},\dots,m_{iS})\), a nonnegative portfolio vector \((x_{i1},\dots,x_{iJ})\), and a lending amount \(y_i\) (negative if borrowing), so as to maximize utility \(u_i(m_i)\) subject to the budget constraints. The asset prices and the rate of return are to be determined through the corresponding market equilibrium. ``The existence of an equilibrium is established with techniques that include bounds derived from the duals to problems of utility maximization. Composite variational inequalities furnish the modeling platform. Models with and without short-selling are handled.''
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    financial markets
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    equilibrium
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    variational inequalities
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    convex analysis
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