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Robustness of the coordinating role of a redundant security

HARA, Chiaki - Center for Operations Research and Econometrics (CORE), … - 1997

The coordinating role of a redundant security is its role in markets with transaction costs to coordinate different consumers’ security demands so as to clear all security markets and, simultaneously, attain a given commodity allocation. The purpose of this paper is to prove that, under some...

Persistent link: https://www.econbiz.de/10005043704

The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns … preferences, endowments and dividends and compare the equilibrium prices and portfolio-holdings to the predictions of the CAPM …. While the CAPM does not hold exactly for the chosen specification, it turns out that pricing errors are extremely small …

Persistent link: https://www.econbiz.de/10011092773

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - Research Center SAFE (Sustainable Architecture for … - 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010955140

Incomplete-Market Equilibria Solved Recursively on an Event Tree

Dumas, Bernard J; Lyasoff, Andrew - C.E.P.R. Discussion Papers - 2009

We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...

Persistent link: https://www.econbiz.de/10005124234

Computing Equilibria in Finance Economies

Herings, P.J.J.; Kubler, F. - EconWPA - 2001

Persistent link: https://www.econbiz.de/10005125623

Incomplete-Market Equilibria Solved Recursively on an Event Tree

Dumas, Bernard; Lyasoff, Andrew - National Bureau of Economic Research (NBER) - 2008

Persistent link: https://www.econbiz.de/10005580794

Computable general equilibrium with financial markets

Kubler, Felix - In: Economic Theory 18 (2001) 1, pp. 73-96

There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs or other market frictions introduce the...

Persistent link: https://www.econbiz.de/10005155368

Incomplete-Market Equilibria Solved Recursively on an Event Tree

DUMAS, Bernard; LYASOFF, Andrew

Persistent link: https://www.econbiz.de/10005534198

Computing Equilibria in Finance Economies

Herings, P. Jean-Jacques - 2008

ideally suited for the study of problems in cross sectional asset pricing and portfolio theory. In this paper we develop a …

Persistent link: https://www.econbiz.de/10012728265

A method for solving general equilibrium models with incomplete markets and many financial assets

Evans, Martin D.D.; Hnatkovska, Viktoria - In: Journal of Economic Dynamics and Control 36 (2012) 12, pp. 1909-1930

This paper presents a numerical method for solving stochastic general equilibrium models with dynamic portfolio choice. The method can be applied to models with heterogeneous agents, time-varying investment opportunity sets, and incomplete asset markets. We illustrate the method using a...

Persistent link: https://www.econbiz.de/10010580803

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