The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets

The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets

0.00 Avg rating0 Votes
Article ID: iaor2004710
Country: United Kingdom
Volume: 44
Issue: 7
Start Page Number: 887
End Page Number: 897
Publication Date: Oct 2002
Journal: Computers & Mathematics with Applications
Authors: , ,
Keywords: finance & banking
Abstract:

The balance set approach, is developed for optimization problems with objective functions taking values in ℝn. Balance points have important economical interpretations. Since the theory of Riesz spaces and Banach lattices become more and more the natural setting for general equilibrium and dynamic economic models, we propose here an extension of the balance space approach to models with objective functions taking values in Riesz spaces. As an application, we present an optimization problem with an objective function valued in an L2-space. It describes the process of an agent maximizing the profit coming from an arbitrage portfolio in a financial market.

Reviews

Required fields are marked *. Your email address will not be published.