Incomplete‐Market Equilibria Solved Recursively on an Event Tree
提出一种在事件树上递归求解不完全市场均衡价格的方法，类似衍生品定价的逆向归纳，无需猜测投资者对未来预期，适用于异质性代理人模型。
ABSTRACT Because of non‐traded human capital, real‐world financial markets are massively incomplete, while the modeling of imperfect, dynamic financial markets remains a wide‐open and difficult field. Some 30 years after Cox, Ross, and Rubinstein (1979) taught us how to calculate the prices of derivative securities on an event tree by simple backward induction, we show how a similar formulation can be used in computing heterogeneous‐agents incomplete‐market equilibrium prices of primitive securities. Extant methods work forward and backward, requiring a guess of the way investors forecast the future. In our method, the future is part of the current solution of each backward time step.