Computational methods for solving modern asset pricing models

该项目旨在解决广泛的资产定价模型。资产价格的变动影响到私人投资者、公共部门财务、财富分配和商业活动水平。经济学家试图建立更好的资产价格模型，从超理性转向现实特征，包括异质性、习惯持久性和有限理性。这些模型的额外复杂性使它们很难解决或应用于现实世界的问题。该项目将使用现代硬件和计算工具、经济学文献中的见解和数值分析，为此类资产定价模型提供一套解决方法。预计这将改善不确定情况下的政策分析和决策。

This project aims to solve a broad range of asset pricing models. Movements in asset prices affect private investors, public sector finances, wealth distribution and business activity levels. Economists have tried to build better models of asset prices, moving away from hyper-rationality and towards realistic features including heterogeneity, habit persistence and bounded rationality. These models’ additional complexity makes them difficult to solve or to apply to real world problems. The project will use modern hardware and computational tools, insights from economics literature and numerical analysis to provide a set of solution methods for such asset pricing models. This is expected to improve policy analysis and decision making under uncertainty.