Computing equilibria in finance economies with incomplete markets and transaction costs
type: Item
instance of: scholarly article
title: Computing equilibria in finance economies with incomplete markets and transaction costs
zbMATH Open document ID: 1087.91032
author: P. Jean-Jacques Herings
author: Karl Schmedders
published in: Economic Theory
publication date: 2006-03-21T00:00:00Z
full work available at URL: 1318.pdf
review text: An algorithm is introduced for the computation of equilibria in general equilibrium models with incomplete asset markets and transaction costs. It is shown that economies with transaction costs can be analyzed with differentiable homotopy techniques and thus in the same framework as frictionless economies despite the existence of non-differentiabilities of agents' asset demand functions and the existence of locally non-unique equilibria.
reviewed by: Giacomo Bonanno
Mathematics Subject Classification ID: 91B50
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 5013651
zbMATH Keywords: transaction costs
zbMATH Keywords: incomplete markets
zbMATH Keywords: asset pricing
zbMATH Keywords: computational methods
describes a project that uses: HOMPACK
MaRDI profile type: Publication
OpenAlex ID: W3121814859
DOI: 10.1007/S00199-004-0583-4
description: scientific article; zbMATH DE number 5013651