An interior-point algorithm for computing equilibria in economies with incomplete asset markets
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Cites work
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- Computing equilibria in stochastic finance economies
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- Computing Zeros of Sections of Vector Bundles Using Homotopies and Relocalization
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- 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
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Cited in
(11)- Computing equilibria in the general equilibrium model with incomplete asset markets
- A smooth homotopy method for incomplete markets
- Computing equilibria for markets with constant returns production technologies
- The new full-Newton step interior-point algorithm for the Fisher market equilibrium problems based on a kernel function
- A complementary pivot algorithm for market equilibrium under separable, piecewise-linear concave utilities
- Computing equilibria in economies with incomplete markets, collateral and default penalties
- A computational algorithm for equilibrium asset pricing under heterogeneous information and short-sale constraints
- Computing Equilibria when Asset Markets are Incomplete
- Computing equilibria in general equilibrium models via interior-point methods
- An interior-point path-following algorithm for computing a Leontief economy equilibrium
- Computing equilibria in finance economies with incomplete markets and transaction costs
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