Computing equilibria in economies with incomplete markets, collateral and default penalties
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-012-1276-1.pdf
Reference25 articles.
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2. Birgin, E. G. http://www.ime.usp.br/~egbirgin/tango/ .
3. Brown, D. J., DeMarzo, P. M., & Eaves, B. C. (1996). Computing equilibria when asset markets are incomplete. Econometrica, 64, 1–27.
4. Chen, X. (2012). Smoothing methods for nonsmooth, nonconvex minimization. Mathematical Programming, 134, 71–99.
5. DeMarzo, P. M., & Eaves, B. C. (1996). Computing equilibria of GEI by relocalization on a Grassmann manifold. Journal of Mathematical Economics, 26, 479–497.
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