For constants γ∈(0,1) and A∈(1,∞), we prove existence and uniqueness of a solution to the singular and path-dependent Riccati-type ODE [Formula presented] As an application, we use the ODE solution to prove existence of a Radner equilibrium with homogeneous power-utility investors in the limited participation model from Basak and Cuoco (1998).
Guasoni, P., Larsen, Kasper., Leoni, G. (2025). Existence of an equilibrium with limited stock market participation and power utilities. JOURNAL OF DIFFERENTIAL EQUATIONS, 448, 1-56 [10.1016/j.jde.2025.113694].
Existence of an equilibrium with limited stock market participation and power utilities
Guasoni P.;
2025
Abstract
For constants γ∈(0,1) and A∈(1,∞), we prove existence and uniqueness of a solution to the singular and path-dependent Riccati-type ODE [Formula presented] As an application, we use the ODE solution to prove existence of a Radner equilibrium with homogeneous power-utility investors in the limited participation model from Basak and Cuoco (1998).File in questo prodotto:
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2025_JDE.pdf
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