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- Paul M Beaumont, Patrick M Bradshaw
- 1995

We use a distributed parallel genetic algorithm (DPGA) to nd numerical solutions to a single state deterministic optimal growth model for both the innnite and nite horizon cases. To evaluate the DPGA we consider a version of the Taylor-Uhlig problem for which we know the analytical solutions. The rst-order conditions for the innnite horizon case lead to a… (More)

- Aaron D. Smallwood, Paul M. Beaumont
- 2004

There has been considerable interest recently in long memory models able to capture complex features in both the spectral density and autocorrelation functions of time series data. We present a multiple frequency Gegenbauer autoregressive moving average, or k-factor GARMA, model and we derive the asymptotic distributions for a conditional sum of squares… (More)

- P. M. Beaumont, A. J. Culham, A. N. Kercheval
- 2013

We examine market dynamics in a discrete-time, Lucas-style asset-pricing model with heterogeneous , utility-optimizing agents. Finitely many agents trade a single asset paying a stochastic dividend. All agents know the probability distribution of the dividend but not the private information such as wealth and asset holdings of other agents. The market… (More)

- P. M. Beaumont, A. J. Culham
- 2007

We examine market dynamics in a Lucas-style, asset-pricing model with heterogeneous traders who know the distribution of dividends but not the private information of other traders. Agents optimize a CRRA utility function while learning about aggregate states in order to better estimate the equilibrium pricing function. Our goal is to determine whether and… (More)

- Paul M. Beaumont, Yuanying Guan, Alec N. Kercheval
- Complexity
- 2014

We study a simple model based upon the Lucas framework where heterogeneous agents behave rationally in a fully intertemporal setting but do not know other investors' personal preferences, wealth or investment portfolios. As a consequence , agents initially do not know the equilibrium asset pricing function and must make guesses which they update via… (More)

- P. M. Beaumont, A. J. Culham, A. N. Kercheval
- 2008

We examine market dynamics in a discrete-time, Lucas-style asset-pricing model with heterogeneous, utility-optimizing agents. Finitely many agents trade a single asset paying a stochastic dividend, and know the probability distribution of the dividend but not the private information of other agents. The market clearing price is determined endogenously in… (More)

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