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Heterogeneous-Agent Models in Asset Pricing: The Dynamic Programming Approach and Finite Difference Method
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Periodical
- Title:
- The B.E. journal of theoretical economics
- Publication:
-
Berlin Boston, Mass.: De Gruyter
- Note:
- Gesehen am 04.12.20
- C!URL-Ä(06-02-12);C:auf der Degruyter-Seite werden bei den früheren Jg. (1.2001ff) die Artikel der darin aufgegangenen Zeitschriften aufgeführt, daher wurde der ev obiger Veröffentlichung nicht auf 1.2001 zurückdatiert;355!URL-Ä(04-12-20)
- Scope:
- Online-Ressource
- ISSN:
- 1935-1704
- ZDB-ID:
-
2268339-2
- VÖBB-Katalog:
- 35340968
- Keywords:
- Zeitschrift
- Classification:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Collection:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
- Title:
- The B.E. journal of theoretical economics
- Publication:
-
Berlin Boston, Mass.: De Gruyter
- Note:
- Gesehen am 04.12.20
- C!URL-Ä(06-02-12);C:auf der Degruyter-Seite werden bei den früheren Jg. (1.2001ff) die Artikel der darin aufgegangenen Zeitschriften aufgeführt, daher wurde der ev obiger Veröffentlichung nicht auf 1.2001 zurückdatiert;355!URL-Ä(04-12-20)
- Scope:
- Online-Ressource
- ISSN:
- 1935-1704
- ZDB-ID:
-
2268339-2
- VÖBB-Katalog:
- 35340968
- Keywords:
- Zeitschrift
- Classification:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Collection:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
Article
- Title:
- Heterogeneous-Agent Models in Asset Pricing: The Dynamic Programming Approach and Finite Difference Method
- Publication:
-
Berlin Boston, Mass.: De Gruyter, 2025
- Language:
- English
- Information:
- Abstract: This paper provides a detailed guide to solving a model characterized by risk-aversion heterogeneity, utilizing the dynamic programming approach in conjunction with the finite difference method. Although this model is characterized by a system of three partial differential equations (PDEs) – two related to the agents’ value functions and one to the risky asset price – it is surprisingly unnecessary to solve the full 3-PDEs system. Solving the 2-PDEs system for the agents’ value functions is sufficient, as, in equilibrium, the risky asset price is a function of these values. This problem is further simplified since each agent’s PDE can be solved independently due to the properties of the value function under constant relative risk aversion (CRRA) preferences. Finally, we demonstrate that applying the finite difference method with the implicit approach and an upwind scheme is straightforward for this type of asset pricing model.
- Scope:
- Online-Ressource
- Note:
- Kein Open Access
- Archivierung/Langzeitarchivierung gewährleistet
- Keywords:
- heterogeneous agents ; preferences ; asset pricing ; dynamic programming ; finite difference ; continuous time ; C02 ; G11 ; G12
- Classification:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Sonstiges
- Collection:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Sonstiges
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
- Title:
- Heterogeneous-Agent Models in Asset Pricing: The Dynamic Programming Approach and Finite Difference Method
- Publication:
-
Berlin Boston, Mass.: De Gruyter, 2025
- Language:
- English
- Information:
- Abstract: This paper provides a detailed guide to solving a model characterized by risk-aversion heterogeneity, utilizing the dynamic programming approach in conjunction with the finite difference method. Although this model is characterized by a system of three partial differential equations (PDEs) – two related to the agents’ value functions and one to the risky asset price – it is surprisingly unnecessary to solve the full 3-PDEs system. Solving the 2-PDEs system for the agents’ value functions is sufficient, as, in equilibrium, the risky asset price is a function of these values. This problem is further simplified since each agent’s PDE can be solved independently due to the properties of the value function under constant relative risk aversion (CRRA) preferences. Finally, we demonstrate that applying the finite difference method with the implicit approach and an upwind scheme is straightforward for this type of asset pricing model.
- Scope:
- Online-Ressource
- Note:
- Kein Open Access
- Archivierung/Langzeitarchivierung gewährleistet
- Keywords:
- heterogeneous agents ; preferences ; asset pricing ; dynamic programming ; finite difference ; continuous time ; C02 ; G11 ; G12
- Classification:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Sonstiges
- Collection:
- Sozialwissenschaften
- Wirtschaft
- Technik
- Sonstiges
- Copyright:
- Rights reserved
- Accessibility:
- Eingeschränkter Zugang mit Nutzungsbeschränkungen
