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In this paper we develop a framework for the study of financial equilibrium in the case of sectors in the economy, each of which is faced with two objectives/criteria in his portfolio selection decision making. In particular, we first present the bicriteria decision model of an individual financial sector, who seeks an optimal portfolio composition, given that the wishes to minimize his risk and to...
In this paper, we consider the financial equilibrium problemconsisting of multiple sectors, each of which seeks to determinethe optimal size of its portfolio, along with its optimal holdingsof assets as well as liabilities. We construct the networkunderlying each sector's optimization problem and then provide theequilibrium conditions and the equivalent variational inequalityformulation. We identify...
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