A method for solving general equilibrium models with incomplete markets and many financial assets

DOI10.1016/j.jedc.2012.05.010zbMath1346.91140OpenAlexW3122168817MaRDI QIDQ318872

Martin D. D. Evans, Viktoria Hnatkovska

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.05.010

zbMATH Keywords

incomplete marketsportfolio choicedynamic stochastic general equilibrium models

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic stochastic general equilibrium theory (91B51)

Related Items (3)

A two-period model with portfolio choice: understanding results from different solution methods ⋮ Solving DSGE portfolio choice models with dispersed private information ⋮ Quantitative implications of indexed bonds in small open economies

Uses Software

• Gensys

Cites Work

• Unnamed Item
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• Comparing solution methods for dynamic equilibrium economies
• Country portfolio dynamics
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• Incomplete asset markets and the cross-country consumption correlation puzzle
• Strategic asset allocation
• Asymptotic methods for aggregate growth models
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Solving linear rational expectations models
• Solving dynamic equilibrium models by a method of undetermined coefficients
• International Risk Sharing and the Transmission of Productivity Shocks
• A Dynamic Equilibrium Model of International Portfolio Holdings
• Business Cycles and the Asset Structure of Foreign Trade
• Accuracy of stochastic perturbation methods: The case of asset pricing models

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