Research of Investment Supernetwork Model Based on Variational Inequalities

In this paper, we present an investment supernetwork model with risk management. The optimality condition for the investor who try to optimize their objective function and are faced with multiple criteria such as maximize profit and minimum risk, minimum time and so on, and weight them according to their preferences is established and derives the finite-dimensional variational inequality formulation. Then the projected dynamical system is present, which describes the disequilibrium dynamics of the funds of investment on the supernetwork whose set of stationary points coincides with the set of the variational inequality problem. Qualitative properties of the equilibrium financial flows pattern are provided. A computational procedure that exploits network structure of the problem is proposed. Finally, some examples are provided to illustrate both the generality of the investment supernetworks concept and theory as well as the computational procedures.