Title

Electronic Finance and Risk Management in the Supernetwork Age

Document Type

Article

Department or Administrative Unit

Finance and Supply Chain Management

Publication Date

2011

Abstract

A framework was derived for the modeling, analysis, and solutions computation of multi-tiered financial network problems with electronic transactions in which both the sources of financial funds as well as the inermediaries 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 derived. The optionality 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.

Journal

Journal of the University of Shanghai for Science and Technology

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