The (2n+1-2)-ray algorithm: a new simplicial algorithm to compute economic equilibria
Mathematical Programming: Series A and B
Numerical continuation methods: an introduction
Numerical continuation methods: an introduction
Algorithm 652: HOMPACK: a suite of codes for globally convergent homotopy algorithms
ACM Transactions on Mathematical Software (TOMS)
Computing zeros of sections of vector bundles using homotopies and relocalization
Mathematics of Operations Research
Approximate CAPM When Preferences are CRRA
Computational Economics
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The general equilibrium model with incomplete asset markets is ideally suited for the study of problems in cross-sectional asset pricing and portfolio theory. In this paper, we develop a homotopy algorithm to approximate equilibria in these models. Since the algorithm is tailor made for so-called finance economies, the number of nonlinear equations that has to be solved for, and therefore the computing time, is an order of magnitude smaller than that of existing general-purpose algorithms. The algorithm is shown to be generically convergent. We implement the algorithm using HOMPACK. To illustrate its performance, we present various numerical examples and report running times.