全球智库信息集成服务系统(G2TT): Incomplete-Market Equilibria Solved Recursively on an Event Tree

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w14629
来源ID	Working Paper 14629
	Incomplete-Market Equilibria Solved Recursively on an Event Tree
	Bernard Dumas; Andrew Lyasoff
发表日期	2008-12-31
出版年	2008
语种	英语
摘要	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 market, there are also endogenous state variables, which introduce path dependence. We write on an event tree the system of all first-order conditions of all times and states and solve recursively for state prices, which are dual variables. We illustrate this "dual" method and show its many practical advantages by means of several examples.
主题	Microeconomics ; Mathematical Tools ; General Equilibrium ; Behavioral Economics ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w14629
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/572304
推荐引用方式 GB/T 7714	Bernard Dumas,Andrew Lyasoff. Incomplete-Market Equilibria Solved Recursively on an Event Tree. 2008.