A Computational Algorithm for Equilibrium Asset Pricing Under Heterogeneous Information and Short-Sale Constraints

DOI10.1142/S0217595917500257zbMath1377.91099OpenAlexW2754821731MaRDI QIDQ4595326

Jianqiang Hu, Jun Tong, 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 pricingtâtonnementaggregate utility function

Mathematics Subject Classification ID

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

Uses Software

• PLCP
• SQPlab

Cites Work

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

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