This paper shows that perturbation methods can be applied to a DSGE model with incomplete markets and a finite but arbitrarily large number of heterogeneous agents. We develop a simple but general solution technique that handles many state and choice variables for each agent and thus has an...

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...

This paper contains an analysis of incomplete market models with finitely but arbitrarily many heterogeneous agents. We discuss the mathematical foundation for equilibrium conditions which leads to two findings. First, we establish existence of equilibria for small and large risks. Second, we...