Consistent Conjectural Variations Equilibrium in an Optimal Portfolio Model

Authors

  • Vyacheslav V. Kalashnikov ITESM, Campus Monterrey
  • Nataliya I. Kalashnykova UANL
  • Felipe J. Castillo-Pérez ITESM, Campus Monterrey

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, while the constraints satisfy a certain identity that appears in flow-of-funds accounts. Each sector uses conjectures about its influence upon the prices of the instruments. The equilibrium conditions are first derived, and then the governing variational inequality problems are deduced. Subsequently, a qualitative analysis of the model is conducted, and a concept of consistent conjectures is introduced and examined as well.

Keywords:

conjectural variations equilibrium, consistent conjectures, consistent equilibrium, optimal portfolio models

Downloads

Download data is not yet available.

References

Nagurney, A. (1999). Network Economics: A Variational Inequality Approach. Kluwer Academic Publishers: Dordrecht, The Netherlands.

Isac, G., V. A. Bulavsky and V. V. Kalashnikov (2002). Complementarity, Equilibrium, Efficiency and Economics. Kluwer Academic Publishers: Dordrecht/Boston/London.

Ferris, M. C. and J.-C. Pang (1997). Engineering and economic applications of complementarity problems. SIAM Review, 39, 669–713.

Kalashnikov, V. V., V. A. Bulavsky, N I. Kalashnykova and F. J. Castillo (2011). Mixed oligopoly with consistent conjectures. European J. Oper. Res., 210, 729–735.

Bulavsky, V. A. and V. V. Kalashnikov (2012). Games with linear conjectures about system parameters. J. Optim. Theory and Appl., 152, 152–170.

Kalashnikov, V. V., V. A. Bulavsky, V. V. Kalashnikov-Jr. and N. I. Kalashnykova (2014). Structure of demand and consistent conjectural variations equilibrium (CCVE) in a mixed oligopoly mode. Ann. Oper. Res., 217, 281–297.

Kalashnikov, V. V., V. A. Bulavsky, N. I. Kalashnykova, A. Arévalo-Franco, and F. J. Castillo-Pérez (to appear). Consistent conjectures are optimal Cournot-Nash strategies in the upper level game. Optimization (to appear).

Downloads

Published

2022-05-24

How to Cite

Kalashnikov, V. V. ., Kalashnykova, N. I. ., & Castillo-Pérez, F. J. . (2022). Consistent Conjectural Variations Equilibrium in an Optimal Portfolio Model. Contributions to Game Theory and Management, 8. Retrieved from https://gametheory.spbu.ru/article/view/13452

Issue

Vol. 8 (2015)

Section

Articles

License

Articles of "Contributions to Game Theory and Management" are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.