Financial networks with intermediation

Quantitative Finance

Volumn 1, Issue 4, 2001, Pages 441-451

  Nagurney, Anna ^a   Ke, Ke ^a  

^a UNIVERSITY OF MASSACHUSETTS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008834192     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/1/4/304     Document Type: Article

References (31)

1. Bazaraa M S, Sherali H D and Shetty C M 1993 Nonlinear Programming: Theory and Algorithms (New York: Wiley)
2. Bertsekas D P and Tsitsiklis J N 1989 Parallel and Distributed Computation. Numerical Methods (Englewood Cliffs, NJ: Prentice Hall)
3. Black F and Litterman R 1992 Global portfolio optimization Financial Analysts J. 48 28-43
4. Board of Governors 1980 Introduction to Flow of Funds (Washington, DC: Federal Reserve System)
5. Charnes A and Cooper W W 1967 Some network characterizations for mathematical programming and accounting approaches to planning and control Accounting Rev. 42 24-52
6. Cohen J 1987 The flow of funds in theory and practice Financial and Monetary Studies vol 15 (Dordrecht: Kluwer)
7. Dafermos S and Nagurney A 1987 Oligopolistic and competitive behavior of spatially separated markets Regional Science and Urban Economics vol 17 pp 245-54
8. Dafermos S and Sparrow F T 1969 The traffic assignment problem for a general network J. Res. NBS B 73 91-118
9. Gabay D and Moulin H 1980 On the uniqueness and stability of Nash equilibria in noncooperative games Applied Stochastic Control of Econometrics and Management Science ed A Bensoussan, P Kleindorfer and C S Tapiero (Amsterdam: North-Holland)
10. Hughes M and Nagurney A 1992 A network model and algorithm for the estimation and analysis of financial flow of funds Comput. Sci. Economics Management 5 23-39
11. Kinderlehrer D and Stampacchia G 1980 An Introduction to Variational Inequalities and their Application (New York: Academic) Korpelevich G M 1977 The extragradient method for finding saddle points and other problems Matekon 13 35-49
12. Markowitz H M 1952 Portfolio selection J. Finance 7 77-91
13. Markowitz H M 1959 Portfolio Selection: Efficient Diversification of Investments (New York: Wiley)
14. Mulvey J M 1987 Nonlinear networks in finance Adv. Math. Programming Financial Planning 1 253-71
15. Nagurney A 1999 Network Economics: A Variational Inequality Approach 2nd edn (Dordrecht: Kluwer)
16. Nagurney A 2001 Finance and variational inequalities Quantitative Finance 1 309-17
17. Nagurney A and Dong J 1995 Formulation and computation of general financial equilibrium with transaction costs Adv. Math. Programming Financial Planning 4 3-24
18. Nagurney A and Dong J 1996a General financial equilibrium modeling with policy interventions and transaction costs Computational Economics 9 3-17
19. Nagurney A and Dong J 1996b Network decomposition of general financial equilibrium with transaction costs Networks 28 107-16
20. Nagurney A, Dong J and Hughes M 1992 Formulation and computation of general financial equilibrium Optimization 26 339-54
21. Nagurney A and Hughes M 1992 Financial flow of funds networks Networks 2 145-61
22. Nagurney A and Siokos S 1997a Financial Networks: Statics and Dynamics (Heidelberg: Springer)
23. Nagurney A and Siokos S 1997b Variational inequalities for international general financial equilibrium modeling and computation Math. Comput. Modelling 25 31-49
24. Nagurney A and Zhao L 1993 Networks and variational inequalities in the formulation and computation of market disequilibria: the case of direct demand functions Transportation Sci. 27 4-15
25. Nash J F 1950 Equilibrium points in N-person games Proc. Natl Acad. Sci. USA 36 48-9
26. Nash J F 1951 Noncooperative games Ann. Math. 54 286-98 Quesnay F 1758 Tableau Economique (reproduced in 1895 with an introduction by H Higgs by the British Economic Society)
27. Rudd A and Rosenberg B 1979 Realistic portfolio optimization TIMS Studies in the Management Sciences 11 21-46
28. Soenen L A 1979 Foreign Exchange Exposure Management: A Portfolio Approach (Germantown, MD: Sijthoff and Noordhoff)
29. Storoy S, Thore S and Boyer M 1975 Equilibrium in linear capital market networks J. Finance 30 1197-211
30. Thore S 1969 Credit networks Economica 36 42-57
31. Thore S 1980 Programming the Network of Financial Intermediation (Oslo: Universitetsforslaget)