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Existence of equilibrium and price adjustments in a finance economy with incomplete markets

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  • Talman, A.J.J.
  • Thijssen, J.J.J.

Abstract

In this paper, several problem reduction techniques are discussed that can be used to reduce the solution time of set partitioning problems. These techniques can be applied in any solution algorithm for set partitioning problems. Besides a short review of the existing literature on preprocessing set partitioning problems, we also present several new techniques. The value of these techniques is illustrated by various computational experiments.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 42 (2006)
Issue (Month): 3 (June)
Pages: 255-268

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Handle: RePEc:eee:mateco:v:42:y:2006:i:3:p:255-268

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  1. Dai, Y. & Laan, G. van der & Talman, A.J.J. & Yamamoto, Y., 1989. "A simplicial algorithm for the nonlinear stationary point problem on an unbounded polyhedron," Discussion Paper, Tilburg University, Center for Economic Research 1989-52, Tilburg University, Center for Economic Research.
  2. Herings,P. Jean-Jacques & Kubler,Felix, 2000. "Computing Equilibria in Finance Economies," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  3. Talman, A.J.J. & Dai, Y., 1993. "Linear stationary point problems on unbounded polyhedra," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153122, Tilburg University.
  4. Hirsch, M. D. & Magill, M. & Mas-Colell, A., 1990. "A geometric approach to a class of equilibrium existence theorems," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 95-106.
  5. Talman, A.J.J. & Yamamoto, Y., 1989. "A simplicial algorithm for stationary point problems on polytopes," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153111, Tilburg University.
  6. Hens,Thorsten, 1991. "Structure of general equilibrium models with incomplete markets and a single consumption good," Discussion Paper Serie A 353, University of Bonn, Germany.
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Cited by:
  1. Jacco Thijssen, 2008. "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, Springer, vol. 4(4), pages 505-523, October.

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