Long-run survival in limited stock market participation models with power utilities
Mathematical Finance
2025-12-17 v1
Abstract
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.
Keywords
Cite
@article{arxiv.2512.14680,
title = {Long-run survival in limited stock market participation models with power utilities},
author = {Heeyoung Kwon and Kasper Larsen},
journal= {arXiv preprint arXiv:2512.14680},
year = {2025}
}