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

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  • Patrizia Daniele

    (University of Catania)

  • Mariagrazia Lorino

    (University of Catania)

  • Cristina Mirabella

    (University of Catania)

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.

Suggested Citation

  • Patrizia Daniele & Mariagrazia Lorino & Cristina Mirabella, 2016. "The Financial Equilibrium Problem with a Markowitz-Type Memory Term and Adaptive Constraints," Journal of Optimization Theory and Applications, Springer, vol. 171(1), pages 276-296, October.
    • Handle: RePEc:spr:joptap:v:171:y:2016:i:1:d:10.1007_s10957-016-0973-3
    DOI: 10.1007/s10957-016-0973-3
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    References listed on IDEAS

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