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.

Market Research, Research, Models, Equilibrium (Economics)

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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.

Prices and rates, Measurement, Martingales (Mathematics)

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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.

Commercial Banks, Investment Banking and Securities Dealing, Germany, Portfolio Management, Portfolio & Funds Management, Methods, Usage, Capital assets pricing model, Capital asset pricing model

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