Computing Equilibria when Asset Markets are Incomplete

DOI10.2307/2171922MaRDI QIDQ4715543zbMATH OpenOpenAlexFDO

Authors Donald J. Brown, Peter M. DeMarzo, B. Curtis Eaves

Publication date 31 May 1999

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/d6f19f279223c6651ec83de07e3f2675c2e1e1e9

zbMATH Keywords

existence of equilibriumhomotopyincomplete marketspath-following

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Applications of mathematical programming (90C90) General equilibrium theory (91B50)

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(23)

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• Computing equilibria of GEI by relocalization on a Grassmann manifold
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• Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints
• General equilibrium models and homotopy methods
• A homotopy algorithm and an index theorem for the general equilibrium model with incomplete asset markets
• Determination of general equilibrium with incomplete markets and default penalties
• A smooth homotopy method for incomplete markets
• On the existence of approximated equilibria in discontinuous economies
• A complementary pivot algorithm for market equilibrium under separable, piecewise-linear concave utilities
• Computing equilibria in economies with incomplete markets, collateral and default penalties
• scientific article; zbMATH DE number 1552541 (Why is no real title available?)
• General economic equilibrium with financial markets and retainability
• Computing Equilibria in Finance Economies
• Asymptotic methods for asset market equilibrium analysis
• Failure of the index theorem in an incomplete market economy
• Computing equilibria in finance economies with incomplete markets and transaction costs
• An interior-point algorithm for computing equilibria in economies with incomplete asset markets
• Competitive equilibria in semi-algebraic economies
• On the orientability of the asset equilibrium manifold
• A new proof of the index formula for incomplete markets

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