| Article ID: | iaor20163681 |
| Volume: | 171 |
| Issue: | 1 |
| Start Page Number: | 276 |
| End Page Number: | 296 |
| Publication Date: | Oct 2016 |
| Journal: | Journal of Optimization Theory and Applications |
| Authors: | Daniele Patrizia, Lorino Mariagrazia, Mirabella Cristina |
| Keywords: | financial, risk, heuristics |
In this paper, we generalize the Markowitz measure of the risk proposed in a stationary setting. We provide an evolutionary Markowitz‐type measure of the risk with a memory term and show that this function is effective, namely an existence theorem for the general financial problem can be proved.