A smooth homotopy method for incomplete markets

DOI10.1007/S10107-020-01551-9MaRDI QIDQ2235159zbMATH OpenOpenAlexFDO

Authors Yang Zhan, Chuangyin Dang

Publication date 20 October 2021

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-020-01551-9

zbMATH Keywords

incomplete marketshomotopy methodsmooth manifoldGEI model

Mathematics Subject Classification ID

Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Global methods, including homotopy approaches to the numerical solution of nonlinear equations (65H20) General equilibrium theory (91B50)

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Cites work

• scientific article; zbMATH DE number 4005929 (Why is no real title available?)
• scientific article; zbMATH DE number 47206 (Why is no real title available?)
• An interior-point algorithm for computing equilibria in economies with incomplete asset markets
• Competitive equilibrium with incomplete financial markets
• Computing Equilibria in Finance Economies
• Computing Equilibria when Asset Markets are Incomplete
• Computing equilibria in stochastic finance economies
• Computing equilibria in the general equilibrium model with incomplete asset markets
• Computing equilibria of GEI by relocalization on a Grassmann manifold
• Convex analysis and financial equilibrium
• Default and Punishment in General Equilibrium1
• Equilibrium in incomplete markets. I: A basic model of generic existence
• Failure of the index theorem in an incomplete market economy
• General equilibrium models and homotopy methods
• Homotopy methods to compute equilibria in game theory
• Infinite Horizon Incomplete Markets
• Introduction to Smooth Manifolds
• On the optimality of equilibrium when the market structure is incomplete
• Variational Inequalities and Economic Equilibrium

Cited in

(2)

• A simple method for computing equilibria when asset markets are incomplete
• A homotopy algorithm and an index theorem for the general equilibrium model with incomplete asset markets

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