超网络时代的电子金融和风险管理

为电子交易中的多层金融网络问题的建模、分析以及计算提出了解决方案,在该网络中,资金来源以及中介均为多目标决策者.特别假定这些决策者不仅寻求收益最大化,而且还寻求风险最小化,风险通过一个可变权重的惩罚项来衡量.揭示了不同决策者的行为,包括金融产品的消费者.导出了最优条件,并证明金融网络经济的均衡条件可表述为一个有限维变分不等式问题.同时,指出了均衡解的存在性条件和唯一性条件,提出了求解的算法.

Electronic finance and risk management in the supernetwork age

A framework was derived for the modeling,analysis,and solutions computation of multitiered financial network problems with electronic transactions in which both the sources of financial funds as well as the intermediaries are multicriteria decision makers.In particular,it was assumed that these decision makers seek not only to maximize their net revenues but also to minimize risk with the risk being penalized by a variable weight.The behaviors of the various decision makers,including the consumers at demand markets for financial products,were explicited.The optimality conditions were derived,and it was demonstrated that the governing equilibrium conditions of the financial network economy can be formulated as a finite dimensional variational inequality problem.Qualitative properties of the equilibrium financial flow and price pattern were provided.A computational procedure that exploits the network structure of the problem were proposed.