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Asynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model

Author

Listed:
  • Jun Tong

    (School of Management, Shanghai University, Shanghai 200444, P. R. China)

  • Jian-Qiang Hu

    (Department of Management Science, Fudan University, Shanghai 200433, P. R. China)

  • Jianxin You

    (School of Economics and Management, Tongji University, Shanghai 200092, P. R. China)

Abstract

In this paper, we extend the work of [Tong, J, J Hu and J Hu (2017). Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints. European Journal of Operational Research, 256(1), 24–34] and develop various asynchronous algorithms to calculate the equilibrium asset prices in a heterogeneous capital asset pricing model. These asynchronous algorithms are based on different asynchronous updating schemes such as delayed updating, cyclic updating, fixed-length updating and random updating. In addition to potential benefits of improving computational efficiency, these asynchronous updating schemes also reflect several scenarios in financial markets in which investors may receive asset pricing information with various degrees of delays and their preferences on how and when to rebalance their portfolios may also be different. The proofs for the convergence of these algorithms are given. Numerical experiments are also provided to compare these algorithms and they show that these asynchronous algorithms work quite well.

Suggested Citation

  • Jun Tong & Jian-Qiang Hu & Jianxin You, 2019. "Asynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 36(05), pages 1-17, October.
    • Handle: RePEc:wsi:apjorx:v:36:y:2019:i:05:n:s0217595919500234
    DOI: 10.1142/S0217595919500234
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    References listed on IDEAS

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