AN EXISTENCE THEOREM FOR THE SCHEINKMAN-WEISS ECONOMIC-MODEL

The Scheinkman-Weiss model and later works by Conze-Lasry-Scheinkman p rovide insights on cycles and correlations of economies with incomplet e markets, namely with borrowing constraints. This work gives a mathem atical 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. H igh risk aversion leads to new mathematical difficulties, not present in previous papers on this subject.