A homotopy algorithm and an index theorem for the general equilibrium model with incomplete asset markets
Article Abstract:
The general equilibrium model with incomplete asset markets (GEI Model) was analyzed using homotopy algorithm and index theorem. Homotopy algorithm was used for the computation of equilibria, while the index theory was employed to gather adequate conditions for the uniqueness of equilibria. Results indicated initial evidence of the Index Theorem for the GEI Model on a number of broad classes of economies.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 1999
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Martingale densities for general asset prices
Article Abstract:
The characteristics of general asset prices within a continuum are examined. Furthermore, the idea of a martingale density and its measurement are analyzed in relation to asset prices. Several applications of the concept are presented. Specifically, the continuity of the drift portion of discounted security gains is discussed vis-a-vis the variance method of the martingale portion.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 1992
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The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM
Article Abstract:
The use of a capital asset pricing model to make multiperiod portfolio decisions in a financial market is analyzed.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2006
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