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arXiv · 2512.14680

Long-run survival in limited stock market participation models with power utilities

Heeyoung Kwon·Kasper Larsen
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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.

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Heeyoung Kwon, Kasper Larsen. 2026-07-31. Long-run survival in limited stock market participation models with power utilities. https://arxiv.org/abs/2512.14680

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