Thursday, 14:15 - 14:40 h, Room: MA 313

 

Vyacheslav Kalashnikov
Finding a conjectural variations equilibrium in a financial model by solving a variational inequality problem

Coauthors: Yazmin G. Acosta Sanchez, Nataliya I. Kalashnykova

 

Abstract:
In this paper, a general multi-sector, multi-instrument model of financial flows and prices is developed, in which the utility function for each sector is assumed to be quadratic and constraints satisfy a certain accounting identity that appears in flow-of-funds accounts. Each sector uses conjectures of its influence upon the prices of instruments. The equilibrium conditions are first derived, and then the governing variational inequality is presented. Next, a criterion of consistency of the conjectures is derived, and a qualitative analysis of the model is conducted.

 

Talk 3 of the invited session Thu.2.MA 313
"Iterative methods for variational inequalities" [...]
Cluster 3
"Complementarity & variational inequalities" [...]

 

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