A computational algorithm for equilibrium asset pricing under heterogeneous information and short-sale constraints

DOI10.1142/S0217595917500257MaRDI QIDQ4595326zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

convex optimizationequilibrium pricingaggregate utility functiontâtonnement

Mathematics Subject Classification ID

Convex programming (90C25) Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91G99)

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Cites work

• A Note on the Simultaneous Stability of Tatonnement Processes for Computing Equilibria
• Asset Market Equilibrium with Short-Selling
• Existence Theorems in the Capital Asset Pricing Model
• Existence of equilibrium in CAPM
• Introduction to Stochastic Search and Optimization
• Numerical optimization. Theoretical and practical aspects. Transl. from the French
• On linear programs with linear complementarity constraints
• On the Stability of the Competitive Equilibrium, II
• Two remarks on the uniqueness of equilibria in the CAPM

Cited in

(2)

• Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints
• Asynchronous algorithms for computing equilibrium prices in a capital asset pricing model

Describes a project that uses

Uses Software

• SQPlab
• PLCP

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