ON EQUILIBRIUM PRICING AS CONVEX OPTIMIZATION

被引：0

作者：

Chen, Lihua ^{[1
]}

Ye, Yinyu ^{[2
]}

Zhang, Jiawei ^{[3
]}

机构：

[1] Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China

[2] Stanford Univ, Dept Management Sci & Engn, Stanford, CA 94305 USA

[3] NYU, Stern Sch Business, IOMS Operat Management, New York, NY 10012 USA

来源：

JOURNAL OF COMPUTATIONAL MATHEMATICS | 2010年 / 28卷 / 05期

关键词：

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

D O I：

10.4208/jcm.1003-m0001

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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

引用

页码：569 / 578

页数：10

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