Asynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model

Jun Tong (), Jian-Qiang Hu and Jianxin You ()
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Jun Tong: School of Management, Shanghai University, Shanghai 200444, P. R. China
Jian-Qiang Hu: Department of Management Science, Fudan University, Shanghai 200433, P. R. China
Jianxin You: School of Economics and Management, Tongji University, Shanghai 200092, P. R. China

Asia-Pacific Journal of Operational Research (APJOR), 2019, vol. 36, issue 05, 1-17

Abstract: In this paper, we extend the work of [Tong, J, J Hu and J Hu (2017). Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints. European Journal of Operational Research, 256(1), 24–34] and develop various asynchronous algorithms to calculate the equilibrium asset prices in a heterogeneous capital asset pricing model. These asynchronous algorithms are based on different asynchronous updating schemes such as delayed updating, cyclic updating, fixed-length updating and random updating. In addition to potential benefits of improving computational efficiency, these asynchronous updating schemes also reflect several scenarios in financial markets in which investors may receive asset pricing information with various degrees of delays and their preferences on how and when to rebalance their portfolios may also be different. The proofs for the convergence of these algorithms are given. Numerical experiments are also provided to compare these algorithms and they show that these asynchronous algorithms work quite well.

Keywords: Asynchronous algorithms; optimization algorithms; computational methods; stochastic systems (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S0217595919500234

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