Computing equilibria in the general equilibrium model with incomplete asset markets

DOI10.1016/S0165-1889(98)00017-7zbMath0912.90047MaRDI QIDQ1274216

Karl Schmedders

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

general equilibriumpenalty functionhomotopy algorithmincomplete asset marketscomputation of equilibriahomotopy path-following

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) General equilibrium theory (91B50) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items (8)

A simple method for computing equilibria when asset markets are incomplete ⋮ An interior-point algorithm for computing equilibria in economies with incomplete asset markets ⋮ Computing equilibria in economies with incomplete markets, collateral and default penalties ⋮ General equilibrium models and homotopy methods ⋮ A homotopy algorithm and an index theorem for the general equilibrium model with incomplete asset markets ⋮ Computing equilibria in infinite-horizon finance economies: The case of one asset ⋮ A smooth homotopy method for incomplete markets ⋮ Determination of general equilibrium with incomplete markets and default penalties

Uses Software

• HOMPACK

Cites Work

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• On the optimality of equilibrium when the market structure is incomplete
• Computing equilibria of GEI by relocalization on a Grassmann manifold
• Computational economics and economic theory: Substitutes or complements?
• Computing equilibria in stochastic finance economies
• Computing equilibria in infinite-horizon finance economies: The case of one asset
• Algorithm 652
• Differential Topology
• Computing Equilibria when Asset Markets are Incomplete
• Computing Zeros of Sections of Vector Bundles Using Homotopies and Relocalization
• Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets

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