ON EQUILIBRIUM PRICING AS CONVEX OPTIMIZATION

被引：0

作者：

Lihua Chen Guanghua School of ManagementPeking UniversityBeijing China Yinyu Ye Department of Management Science and EngineeringStanford UniversityStanfordCA USA Jiawei Zhang IOMSOperations ManagementStern School of BusinessNew York UniversityNew YorkNY USA ^{[100871
,94305
,10012
]}

机构：

来源：

JournalofComputationalMathematics | 2010年 / 28卷 / 05期

关键词：

Convex optimization; Competitive economy equilibrium; Non-homogeneous utility;

D O I：

暂无

中图分类号：

O174 [函数论];

学科分类号：

070104 ;

摘要：

<正> We study competitive economy equilibrium computation.We show that,for the firsttime,the equilibrium sets of the following two markets:1.A mixed Fisher and Arrow-Debreumarket with homogeneous and log-concave utility functions;2.The Fisher andArrow-Debreu markets with several classes of concave non-homogeneous utility functions;are convex or log-convex.Furthermore,an equilibrium can be computed as convex optimizationby an interior-point algorithm in polynomial time.

引用

页码：569 / 578

页数：10