scientific article; zbMATH DE number 1286268

DOI10.1002/(SICI)1097-0037(199903)33:2%3C93::AID-NET2%3E3.0.CO;2-YMaRDI QIDQ4242780zbMATH OpenFDO

Authors Anna Nagurney, Stavros Siokos

Publication date 4 August 1999

Full work available at URL https://doi.org/10.1002/(SICI)1097-0037(199903)33:2%3C93::AID-NET2%3E3.0.CO;2-Y

zbMATH Keywords

portfolio optimizationvariational inequality problem

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Applications of mathematical programming (90C90)

Recommendations

• Network modeling of international financial equilibria with hedging
• Financial networks and optimally-sized portfolios
• Dynamics of international financial networks with risk management
• Network decomposition of general financial equilibria with transaction costs

Cites work

• A network model and algorithm for the analysis and estimation of financial flow of funds
• A projected dynamical systems model of general financial equilibrium with stability analysis
• A relaxed projection method for variational inequalities
• An iterative scheme for variational inequalities
• Convex programming in Hilbert space
• Dynamical systems and variational inequalities
• Financial flow of funds networks
• Formulation and computation of general financial equilibrium
• scientific article; zbMATH DE number 841285 (Why is no real title available?)
• Massively parallel computation of spatial price equilibrium problems as dynamical systems
• Minimization of functions having Lipschitz continuous first partial derivatives
• Network decomposition of general financial equilibria with transaction costs
• Network economics: a variational inequality approach
• On finite convergence and constraint identification of subgradient projection methods
• On the Goldstein-Levitin-Polyak gradient projection method
• On the stability of projected dynamical systems
• Projected dynamical systems modeling and computation of spatial network equilibria
• Traffic assignment problem for a general network
• Variational inequalities and the pricing of American options
• Variational inequalities for international general financial equilibrium modeling and computation
• Variational inequalities in the analysis and computation of multi-sector, multi-instrument financial equilibria

Cited in

(4)

• Network modeling of international financial equilibria with hedging
• Investigating competition in financial markets: a sparse autologistic model for dynamic network data
• Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market
• Financial networks and optimally-sized portfolios

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