An interior-point algorithm for computing equilibria in economies with incomplete asset markets
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Cites work
- scientific article; zbMATH DE number 3809326 (Why is no real title available?)
- scientific article; zbMATH DE number 1206370 (Why is no real title available?)
- scientific article; zbMATH DE number 1154009 (Why is no real title available?)
- A globally convergent primal-dual interior point method for constrained optimization
- A homotopy algorithm and an index theorem for the general equilibrium model with incomplete asset markets
- A primal–dual interior point algorithm with an exact and differentiable merit function for nonlinear programming
- Computable general equilibrium with financial markets
- Computing Equilibria in Finance Economies
- Computing Equilibria when Asset Markets are Incomplete
- Computing Zeros of Sections of Vector Bundles Using Homotopies and Relocalization
- Computing equilibria in general equilibrium models via interior-point methods
- 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
- Equilibrium in incomplete markets. I: A basic model of generic existence
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
- Numerical Optimization
- On projected newton barrier methods for linear programming and an equivalence to Karmarkar’s projective method
- On the optimality of equilibrium when the market structure is incomplete
- Superlinear and quadratic convergence of affine-scaling interior-point Newton methods for problems with simple bounds without strict complementarity assumption
- Superlinear and quadratic convergence of some primal - dual interior point methods for constrained optimization
- Theory of globally convergent probability-one homotopies for nonlinear programming
Cited in
(10)- Computing equilibria in general equilibrium models via interior-point methods
- A smooth homotopy method for incomplete markets
- A complementary pivot algorithm for market equilibrium under separable, piecewise-linear concave utilities
- Computing equilibria for markets with constant returns production technologies
- A computational algorithm for equilibrium asset pricing under heterogeneous information and short-sale constraints
- Computing equilibria in economies with incomplete markets, collateral and default penalties
- An interior-point path-following algorithm for computing a Leontief economy equilibrium
- The new full-Newton step interior-point algorithm for the Fisher market equilibrium problems based on a kernel function
- Computing equilibria in finance economies with incomplete markets and transaction costs
- Computing equilibria in the general equilibrium model with incomplete asset markets
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