In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction...

This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows a simple Gaussian distribution lacking both fat tails and volatility dependence,...

While there is an extensive literature on identifying the asymptotic properties of adaptive learning algorithms, little is explicitly mentioned on how to actually implement these algorithms on the computer to analyze the quantitative effects of learning in dynamic macroeconomic models. The aim...

This paper compares solution methods for dynamic equilibrium economies. We compute and simulate the stochastic neoclassical growth model with leisure choice using Undetermined Coefficients in levels and in logs, Finite Elements, Chebyshev Polynomials, Second and Fifth Order Perturbations and...

This paper presents some new results on the solution of the stochastic neoclassical growth model with leisure. We use the method of Judd (2003) to explore how to change variables in the computed policy functions that characterize the behavior of the economy. We find a simple close-form relation...

The quasi-equilibrium or maximum entropy approximation is applied in order to derive constitutive equations from kinetic models of polymer dynamics. It is shown in general and illustrated for an example how canonical distribution functions are obtained from the maximum entropy principle, how...

There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs or other market frictions introduce the...