A computational algorithm for equilibrium asset pricing under heterogeneous information and short-sale constraints
DOI10.1142/S0217595917500257zbMATH Open1377.91099OpenAlexW2754821731MaRDI QIDQ4595326FDOQ4595326
Authors: Jun Tong, Jianqiang Hu, Jiaqiao Hu 
Publication date: 30 November 2017
Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0217595917500257
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Convex programming (90C25) Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91G99)
Cites Work
- Numerical optimization. Theoretical and practical aspects. Transl. from the French
- Introduction to Stochastic Search and Optimization
- On the Stability of the Competitive Equilibrium, II
- Asset Market Equilibrium with Short-Selling
- On linear programs with linear complementarity constraints
- Existence Theorems in the Capital Asset Pricing Model
- Existence of equilibrium in CAPM
- Two remarks on the uniqueness of equilibria in the CAPM
- A Note on the Simultaneous Stability of Tatonnement Processes for Computing Equilibria
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