A Solution Method for Incomplete Asset Markets Wih Heterogeneous Agents

This paper examines a dynamic, stochastic endowment economy with two agents and two financial securities. Markets are incomplete and agents can have heterogeneous tastes. We develop a new computational method to solve the dynamic general equilibrium model. We allow for various forms of portfolio constraints, transaction costs, and portfolio penalties

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Year of publication:	2008
Authors:	Schmedders, Karl ; Judd, Kenneth L. ; Kubler, Felix
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Finanzmarkt \| Financial market \| Unvollkommener Markt \| Incomplete market \| Allgemeines Gleichgewicht \| General equilibrium \| Agentenbasierte Modellierung \| Agent-based modeling

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 26, 2002 erstellt
Other identifiers:	10.2139/ssrn.900165 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014058523