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Solving Stochastic Equilibrium Models with the Extended Path Method
Capital asset pricing Rational expectations Solution algorithm
2015/8/4
The purpose of this paper is to investigate the
feasibility of using the extended path method - described
in Fair and Taylor [ 23 - to solve capital asset pricing.
This method is now being used rat...
An example of a stochastic equilibrium with incomplete markets
stochastic equilibrium incomplete markets
2010/11/1
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterog...