Long-run survival in limited stock market participation models with power utilities
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866917149212147712 |
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| author | Kwon, Heeyoung Larsen, Kasper |
| author_facet | Kwon, Heeyoung Larsen, Kasper |
| contents | We extend the limited participation model in Basak and Cuoco (1998) to allow for traders with different time-preference coefficients but identical constant relative risk-aversion coefficients. Our main result gives parameter restrictions which ensure the existence of a Radner equilibrium. As an application, we give further parameter restrictions which ensure all traders survive in the long run. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_14680 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Long-run survival in limited stock market participation models with power utilities Kwon, Heeyoung Larsen, Kasper Mathematical Finance We extend the limited participation model in Basak and Cuoco (1998) to allow for traders with different time-preference coefficients but identical constant relative risk-aversion coefficients. Our main result gives parameter restrictions which ensure the existence of a Radner equilibrium. As an application, we give further parameter restrictions which ensure all traders survive in the long run. |
| title | Long-run survival in limited stock market participation models with power utilities |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2512.14680 |