B. Curtis Eaves, Donald J. Brown, Peter M. Demarzo
Existence of equilibrium with incomplete markets is problematic because demand functions are typically not continuous. Discontinuities occur at prices for which a marketed asset suddenly becomes redundant. We show that this discontinuity disappears if we allow an agent in the economy to introduce a new asset when such redundancies occur. This enables us to prove existence with incomplete markets using a standard path-following argument. Hence, available algorithms for path-following in $\mathbf{R}^K$ can be applied to compute equilibria in the GEI case. We demonstrate this by computing equilibrium for a numerical example.
MLA
Eaves, B. Curtis, et al. “Computing Equilibria when Asset Markets are Incomplete.” Econometrica, vol. 64, .no 1, Econometric Society, 1996, pp. 1-27, https://www.jstor.org/stable/2171922
Chicago
Eaves, B. Curtis, Donald J. Brown, and Peter M. Demarzo. “Computing Equilibria when Asset Markets are Incomplete.” Econometrica, 64, .no 1, (Econometric Society: 1996), 1-27. https://www.jstor.org/stable/2171922
APA
Eaves, B. C., Brown, D. J., & Demarzo, P. M. (1996). Computing Equilibria when Asset Markets are Incomplete. Econometrica, 64(1), 1-27. https://www.jstor.org/stable/2171922
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