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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.

    (Tilburg University, Center for Economic Research)


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

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2003-79.

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Date of creation: 2003
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Handle: RePEc:dgr:kubcen:200379

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Keywords: general equilibrium; incomplete markets; prices; financial markets;

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  1. Dai, Y. & Talman, D., 1990. "Linear Stationary Point Problems On Unbounded Polyhedra," Papers 9067, Tilburg - Center for Economic Research.
  2. 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.
  3. 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.
  4. Talman, A.J.J. & Dai, Y. & Laan , G. van der & Yamamoto, Y., 1991. "A simplicial algorithm for the nonlinear stationary point problem on an unbounded polyhedron," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153118, Tilburg University.
  5. P.J.J. Herings & F. Kubler, 2001. "Computing Equilibria in Finance Economies," GE, Growth, Math methods 0205003, EconWPA.
  6. 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.
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Cited by:
  1. Jacco Thijssen, 2008. "A computational study on general equilibrium pricing of derivative securities," Annals of Finance, Springer, vol. 4(4), pages 505-523, October.


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