2025/12/16 by Heeyoung Kwon, Kasper Larsen, Kwon, Heeyoung +1
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Game Theory and Voting Systems #Mathematical Finance (q-fin.MF) #q-fin.MF
paper · pdf · doi:10.48550/arxiv.2512.14680
openalex publication_date 2025/12/16 · openalex created_date 2025/12/18 · openalex updated_date 2026/07/28 · arxiv created 2026/07/31 · arxiv updated 2026/08/03
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.