Geodesic
Consistent conjectural variations equilibrium in an optimal portfolio model
Contributions to game theory and management, Tome 8 (2015), pp. 99-110

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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. 
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     author = {Vyacheslav V. Kalashnikov and Nataliya I. Kalashnykova and Felipe J. Castillo-P\'erez},
     title = {Consistent conjectural variations equilibrium in an optimal portfolio model},
     journal = {Contributions to game theory and management},
     pages = {99--110},
     publisher = {mathdoc},
     volume = {8},
     year = {2015},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/CGTM_2015_8_a8/}
}
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Vyacheslav V. Kalashnikov; Nataliya I. Kalashnykova; Felipe J. Castillo-Pérez. Consistent conjectural variations equilibrium in an optimal portfolio model. Contributions to game theory and management, Tome 8 (2015), pp. 99-110. http://geodesic.mathdoc.fr/item/CGTM_2015_8_a8/