Solving heterogeneous agent models : an application to asset pricing with incomplete markets Pubblico Deposited

Creator Series Date Created
  • 1993-01
Abstract
  • This paper is part of a project to model the interaction between heterogeneous agents in intertemporal stochastic models and to develop numerical algorithms to solve these kind of models. It is well-known that solving dynamic heterogeneous agent models is a challenging problem, since in these models the distribution of wealth and other characteristics evolve endogenously over time. Existing dynamic models in the literature contain therefore just two agents or other simplifying assumptions to limit the heterogeneity.

Subject (JEL) Date Modified
  • 08/21/2018
Corporate Author
  • Federal Reserve Bank of Minneapolis. Research Department.
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