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Existence of Equilibrium and Price Adjustments in a Finance Economy with Incomplete Markets

Author

Listed:
  • Talman, A.J.J.

    (Tilburg University, Center For Economic Research)

  • Thijssen, J.J.J.

    (Tilburg University, Center For Economic Research)

Abstract

In this paper, several problem reduction techniques are discussed that can be used to reduce the solution time of set partitioning problems. These techniques can be applied in any solution algorithm for set partitioning problems. Besides a short review of the existing literature on preprocessing set partitioning problems, we also present several new techniques. The value of these techniques is illustrated by various computational experiments.
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Suggested Citation

  • Talman, A.J.J. & Thijssen, J.J.J., 2003. "Existence of Equilibrium and Price Adjustments in a Finance Economy with Incomplete Markets," Discussion Paper 2003-79, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:45e45888-e926-476c-a66b-797d2225cf49
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    References listed on IDEAS

    as
    1. Dai, Y. & Talman, A.J.J., 1990. "Linear stationary point problems on unbounded polyhedra," Other publications TiSEM 93764fe2-73ae-44e7-93e0-0, Tilburg University, School of Economics and Management.
    2. Talman, A.J.J. & Yamamoto, Y., 1990. "A simplicial algorithm for stationary point problems on polytopes," Other publications TiSEM d08a8960-604c-43c9-a1f9-9, Tilburg University, School of Economics and Management.
    3. Dai, Y. & van der Laan, G. & Talman, A.J.J. & Yamamoto, Y., 1989. "A simplicial algorithm for the nonlinear stationary point problem on an unbounded polyhedron," Other publications TiSEM 82992276-1868-4b56-a937-0, Tilburg University, School of Economics and Management.
    4. Talman, A.J.J. & Yamamoto, Y., 1989. "A simplicial algorithm for stationary point problems on polytopes," Other publications TiSEM 0d6b2de0-17c0-4d5e-963f-5, Tilburg University, School of Economics and Management.
    5. Dai, Y. & Talman, A.J.J., 1994. "Linear stationary point problems on unbounded polyhedra," Other publications TiSEM ad33e634-a3b6-4b13-8387-a, Tilburg University, School of Economics and Management.
    6. Geanakoplos, J. & Polemarchakis, H., 1985. "Existence,regularity, and constrained suboptimality of competitive allocations when the asset market is incomplete," LIDAM Discussion Papers CORE 1985037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    7. P. Herings & Felix Kubler, 2007. "Approximate CAPM When Preferences are CRRA," Computational Economics, Springer;Society for Computational Economics, vol. 29(1), pages 13-31, February.
    8. Hirsch, M. D. & Magill, M. & Mas-Colell, A., 1990. "A geometric approach to a class of equilibrium existence theorems," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 95-106.
    9. A. J. J. Talman & Y. Yamamoto, 1989. "A Simplicial Algorithm for Stationary Point Problems on Polytopes," Mathematics of Operations Research, INFORMS, vol. 14(3), pages 383-399, August.
    10. P. Jean-Jacques Herings & Felix Kubler, 2002. "Computing Equilibria in Finance Economies," Mathematics of Operations Research, INFORMS, vol. 27(4), pages 637-646, November.
    11. Herings, P.J.J. & Kubler, F., 2000. "Computing equilibria in finance economies," Research Memorandum 022, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    12. P. Herings & Felix Kubler, 2007. "Approximate CAPM When Preferences are CRRA," Computational Economics, Springer;Society for Computational Economics, vol. 29(1), pages 13-31, February.
    13. Talman, A.J.J. & Dai, Y., 1993. "Linear stationary point problems on unbounded polyhedra," Other publications TiSEM 17e8253b-bf0f-4b64-82fb-7, Tilburg University, School of Economics and Management.
    14. Dai, Y. & Talman, D., 1990. "Linear Stationary Point Problems On Unbounded Polyhedra," Papers 9067, Tilburg - Center for Economic Research.
    15. Yang Dai & Dolf Talman, 1993. "Linear Stationary Point Problems on Unbounded Polyhedra," Mathematics of Operations Research, INFORMS, vol. 18(3), pages 635-644, August.
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    Cited by:

    1. Zoran Popovic & Marko Backovic, 2017. "Sequential Model of Economic System and Constrained Pareto Optimality," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 13(1), pages 141-158.
    2. Nasreen Nawaz, 2021. "Efficiency on the dynamic adjustment path in a financial market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(1), pages 49-74, January.
    3. Jacco Thijssen, 2008. "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, vol. 4(4), pages 505-523, October.
    4. Ahmed, Muhammad Ashfaq & Nawaz, Nasreen, 2023. "Adam Smith's Perfectly Competitive Market is Not Pareto Efficient: A Dynamic Perspective," MPRA Paper 118362, University Library of Munich, Germany.

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    More about this item

    Keywords

    general equilibrium; incomplete markets; prices; financial markets;
    All these keywords.

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models

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