An interior point algorithm for computing equilibria in economies with incomplete asset markets

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dc.contributor.author Esteban-Bravo, Mercedes
dc.date.accessioned 2006-11-07T11:23:31Z
dc.date.available 2006-11-07T11:23:31Z
dc.date.issued 2004-11
dc.identifier.uri http://hdl.handle.net/10016/107
dc.description.abstract 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 catalogue of techniques for computing GEI equilibria. This paper presents an interior-point algorithm that exploits the special structure of GEI markets. We prove that the algorithm converges globally at a quadratic rate, rendering it particularly effective in solving large-scale GEI economies. To illustrate its performance, we solve relevant examples of GEI markets
dc.format.extent 469443 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries 2004-23
dc.relation.hasversion http://hdl.handle.net/10016/7357
dc.title An interior point algorithm for computing equilibria in economies with incomplete asset markets
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.identifier.repec wb046023
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