A Solution Method for Incomplete Asset Markets Wih Heterogeneous Agents

27 Pages Posted: 14 Jun 2006

See all articles by Karl Schmedders

Karl Schmedders

University of Zurich

Kenneth L. Judd

Stanford University - The Hoover Institution on War, Revolution and Peace; Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP); National Bureau of Economic Research (NBER)

Felix Kubler

University of Zurich; Swiss Finance Institute

Date Written: September 26, 2002

Abstract

This paper examines a dynamic, stochastic endowment economy with two agents and two financial securities. Markets are incomplete and agents can have heterogeneous tastes. We develop a new computational method to solve the dynamic general equilibrium model. We allow for various forms of portfolio constraints, transaction costs, and portfolio penalties.

Suggested Citation

Schmedders, Karl and Judd, Kenneth L. and Kubler, Felix E., A Solution Method for Incomplete Asset Markets Wih Heterogeneous Agents (September 26, 2002). Available at SSRN: https://ssrn.com/abstract=900165 or http://dx.doi.org/10.2139/ssrn.900165

Karl Schmedders (Contact Author)

University of Zurich ( email )

Moussonstrasse 15
Zürich, CH-8044
Switzerland
+41 (0)44 634 3770 (Phone)

Kenneth L. Judd

Stanford University - The Hoover Institution on War, Revolution and Peace ( email )

Stanford, CA 94305-6010
United States

Center for Robust Decisionmaking on Climate & Energy Policy (RDCEP) ( email )

5735 S. Ellis Street
Chicago, IL 60637
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Felix E. Kubler

University of Zurich ( email )

Rämistrasse 71
Zürich, CH-8006
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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