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Financial networks with intermediation: Risk management with variable weights

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  • Nagurney, Anna
  • Ke, Ke

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  • Nagurney, Anna & Ke, Ke, 2006. "Financial networks with intermediation: Risk management with variable weights," European Journal of Operational Research, Elsevier, vol. 172(1), pages 40-63, July.
    • Handle: RePEc:eee:ejores:v:172:y:2006:i:1:p:40-63
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    1. Storoy, Sverre & Thore, Sten & Boyer, Marcel, 1975. "Equilibrium in Linear Capital Market Networks," Journal of Finance, American Finance Association, vol. 30(5), pages 1197-1211, December.
    2. Anna Nagurney & Lan Zhao, 1993. "Variational Inequalities and Networks in the Formulation and Computation of Market Equilibria and Disequilibria: The Case of Direct Demand Functions," Transportation Science, INFORMS, vol. 27(1), pages 4-15, February.
    3. Nagurney, Anna & Dong, June & Mokhtarian, Patricia L., 2002. "Multicriteria network equilibrium modeling with variable weights for decision-making in the Information Age with applications to telecommuting and teleshopping," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1629-1650, August.
    4. Jehoshua Eliashberg & Robert L. Winkler, 1978. "The Role of Attitude Toward Risk in Strictly Competitive Decision-Making Situations," Management Science, INFORMS, vol. 24(12), pages 1231-1241, August.
    5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    6. Anna Nagurney & Jose Cruz, 2003. "International financial networks with intermediation: modeling, analysis, and computations," Computational Management Science, Springer, vol. 1(1), pages 31-58, December.
    7. Dong, June & Zhang, Ding & Nagurney, Anna, 2004. "A supply chain network equilibrium model with random demands," European Journal of Operational Research, Elsevier, vol. 156(1), pages 194-212, July.
    8. Dong, June & Nagurney, Anna, 2001. "Bicriteria Decision Making and Financial Equilibrium: A Variational Inequality Perspective," Computational Economics, Springer;Society for Computational Economics, vol. 17(1), pages 29-42, February.
    9. Dafermos, Stella & Nagurney, Anna, 1987. "Oligopolistic and competitive behavior of spatially separated markets," Regional Science and Urban Economics, Elsevier, vol. 17(2), pages 245-254.
    10. Steuer, Ralph E. & Na, Paul, 2003. "Multiple criteria decision making combined with finance: A categorized bibliographic study," European Journal of Operational Research, Elsevier, vol. 150(3), pages 496-515, November.
    11. A. Nagurney & K. Ke, 2001. "Financial networks with intermediation," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 441-451.
    12. Nagurney, Anna & Cruz, Jose & Dong, June & Zhang, Ding, 2005. "Supply chain networks, electronic commerce, and supply side and demand side risk," European Journal of Operational Research, Elsevier, vol. 164(1), pages 120-142, July.
    13. Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1263-1275, December.
    14. Zopounidis, C., 1999. "Multicriteria decision aid in financial management," European Journal of Operational Research, Elsevier, vol. 119(2), pages 404-415, December.
    15. Nagurney, Anna & Dong, June & Zhang, Ding, 2002. "A supply chain network equilibrium model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 38(5), pages 281-303, September.
    16. Anna Nagurney & Ke Ke, 2003. "Financial networks with electronic transactions: modelling, analysis and computations," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 71-87.
    17. Ma, Jian & Fan, Zhi-Ping & Huang, Li-Hua, 1999. "A subjective and objective integrated approach to determine attribute weights," European Journal of Operational Research, Elsevier, vol. 112(2), pages 397-404, January.
    18. Weber, Martin & Borcherding, Katrin, 1993. "Behavioral influences on weight judgments in multiattribute decision making," European Journal of Operational Research, Elsevier, vol. 67(1), pages 1-12, May.
    19. Stone, Bernell K., 1973. "A Linear Programming Formulation of the General Portfolio Selection Problemâ€," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 621-636, September.
    20. Thore, Sten, 1969. "Credit Networks," Economica, London School of Economics and Political Science, vol. 36(141), pages 42-57, February.
    21. Spronk, Jaap & Hallerbach, Winfried, 1997. "Financial modelling: Where to go? With an illustration for portfolio management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 113-125, May.
    22. Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. "Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
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    Cited by:

    1. Anna Nagurney & Mojtaba Salarpour & June Dong & Ladimer S. Nagurney, 2020. "A Stochastic Disaster Relief Game Theory Network Model," SN Operations Research Forum, Springer, vol. 1(2), pages 1-33, June.
    2. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
    3. Zugang Liu & Anna Nagurney, 2013. "Supply chain networks with global outsourcing and quick-response production under demand and cost uncertainty," Annals of Operations Research, Springer, vol. 208(1), pages 251-289, September.
    4. Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019. "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
    5. Bigi, Giancarlo & Castellani, Marco & Pappalardo, Massimo & Passacantando, Mauro, 2013. "Existence and solution methods for equilibria," European Journal of Operational Research, Elsevier, vol. 227(1), pages 1-11.
    6. Zugang Liu, 2013. "The co-evolution of integrated corporate financial networks and supply chain networks with insolvency risk," Computational Management Science, Springer, vol. 10(2), pages 253-275, June.
    7. Liu, Zugang & Nagurney, Anna, 2011. "Supply chain outsourcing under exchange rate risk and competition," Omega, Elsevier, vol. 39(5), pages 539-549, October.
    8. Matteo Cinelli & Giovanna Ferraro & Antonio Iovanella & Giulia Rotundo, 2021. "Assessing the impact of incomplete information on the resilience of financial networks," Annals of Operations Research, Springer, vol. 299(1), pages 721-745, April.
    9. Liu, Zugang & Wang, Jia, 2019. "Supply chain network equilibrium with strategic financial hedging using futures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 962-978.
    10. Benita, Francisco & Nasini, Stefano & Nessah, Rabia, 2022. "A cooperative bargaining framework for decentralized portfolio optimization," Journal of Mathematical Economics, Elsevier, vol. 103(C).
    11. Liu, Zugang & Cruz, Jose M., 2012. "Supply chain networks with corporate financial risks and trade credits under economic uncertainty," International Journal of Production Economics, Elsevier, vol. 137(1), pages 55-67.
    12. Qiang Qiang & Ke Ke & Yihong Hu, 2013. "Financial networks with socially responsible investing," Computational Management Science, Springer, vol. 10(2), pages 231-252, June.

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