Abstract
The Scheinkman-Weiss model and later works by Conze-Lasry-Scheinkman provide insights on cycles and correlations of economies with incomplete markets, namely with borrowing constraints. This work gives a mathematical solution in the case of high relative risk aversion, which has not yet been solved. The existence of an equilibrium results from the solution of a system of nonlinear functional differential equations. High risk aversion leads to new mathematical difficulties, not present in previous papers on this subject.
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References
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Communicated by G. Leitmann
This work is an extension of previous works done under the direction of Professor Jean-Michel Lasry, University of Paris 9, Dauphine. The author is sincerely grateful to Professor Lasry who suggested the idea of this article and whose remarks were always of help.
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Hayek, N. An existence theorem for the Scheinkman-Weiss economic model. J Optim Theory Appl 88, 433–451 (1996). https://doi.org/10.1007/BF02192179
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DOI: https://doi.org/10.1007/BF02192179