2 papers
q-fin.MF2025
Long-run survival in limited stock market participation models with power utilities
Heeyoung Kwon, Kasper Larsen
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 c…
q-fin.MF2024
Existence of an equilibrium with limited stock market participation and power utilities
Paolo Guasoni, Kasper Larsen, Giovanni Leoni
For constants and , we prove existence and uniqueness of a solution to the singular and path-dependent Riccati-type ODE \begin{align*} \begin{cases} h…