Computing equilibria in in"nite-horizon "nance economies: The case of one asset
نویسندگان
چکیده
We develop methods to compute equilibria in dynamic models with incomplete asset markets and heterogeneous agents. Using spline interpolation methods we approximate recursive trading policies of the agents and the equilibrium pricing functions. We explore various methods for determining the coe$cients of these approximations, including time iteration methods and acceleration techniques. Exploring the optimization errors implied by the approximate equilibrium rules we examine the quality of our results. The results are very encouraging since we are able to compute approximate equilibria in a few minutes or less, attaining optimization errors on the order of one dollar per million dollars of wealth. ( 2000 Elsevier Science B.V. All rights reserved. JEL classixcation: C63, C68, D58, D52
منابع مشابه
Computing Equilibria in Finance Economies
The general equilibrium model with incomplete asset markets provides a uni ed framework for many problems in nance and macroeconomics. In its simplest version with only two time periods and a single physical commodity the model is ideally suited for the study of problems in cross sectional asset pricing and portfolio theory. In this paper we develop a homotopy algorithm to approximate equilibri...
متن کاملFast Planning in Stochastic Games
Stochastic games generalize Markov decision processes (MDPs) to a multiagent setting by allowing the state transitions to depend jointly on all player actions, and having rewards determined by multiplayer matrix games at each state. We consider the problem of computing Nash equilibria in stochastic games, the analogue of planning in MDPs. We begin by providing a generalization of nite-horizon v...
متن کاملDeterminacy of Competitive Equilibria in Economies with Many Commodities
This paper provides a framework for establishing the determinacy of equilibria in general equilibrium models with in nitely many commodities and a nite number of consumers and producers. The paper de nes a notion of regular economy for such models and gives su cient conditions on the excess savings equations characterizing equilibria under which regular economies have a nite number of equilibri...
متن کاملAn interior-point algorithm for computing equilibria in economies with incomplete asset markets
Computing equilibria in general equilibria models with incomplete asset (GEI) markets is technically difficult. The standard numerical methods for computing these equilibria are based on homotopy methods. Despite recent advances in computational economics, much more can be done to enlarge the catalog of techniques for computing GEI equilibria. This paper presents an interior point algorithm tha...
متن کاملMarket Demand Functions in the Capm
We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand on nite sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n di erent beta pricing formulas. It is shown that the lower bound on the number of equilibria, n, is robust to pertubations of endowments.
متن کامل