In this paper, we develop a homotopy algorithm to approximate equilibria in these models. Since the algorithm is tailor made for so-called finance economies, ...

The general equilibrium model with incomplete asset markets is ideally suited for the study of problems in cross-sectional asset pricing and portfolio ...

Jan 1, 2000 · Computing equilibria in finance economies. METEOR, Maastricht. University School of Business and Economics. METEOR Research Memorandum No ...

In this paper, we develop a homotopy algorithm to approximate equilibria in these models. Since the algorithm is tailor made for so-called finance economies, ...

This paper develops an algorithm to compute stationary equilibria in infinite horizon incomplete market models with heterogeneous agents. For the special case ...

with incomplete asset markets and transaction costs. We show that economies with transaction costs can be analyzed with differentiable homotopy techniques.

Jun 12, 2001 · The purpose of this paper is to lay the theoretical foundation for a computational analysis of the impact of transaction costs in GEI economies.

Jun 22, 2000 · In this paper we develop a homotopy algorithm to approximate equilibria in these 'finance economies'. Since the algorithm is tailor made for ...

This paper introduces an algorithm for the computation of equilibria in the general equilibrium model with incomplete asset markets and transaction costs. We ...

Oct 8, 2024 · By P. Jean-Jacques Herings and Felix Kubler; Computing Equilibria in Finance Economies. ... Working Paper: Computing equilibria in finance ...