Existence and convergence of discrete-time Kyle models with multiple insiders

2026-07-16

AI Summary

This study investigates the existence of Radner equilibrium in a discrete-time Kyle model featuring heterogeneous time preferences but identical coefficients of relative risk aversion, and establishes conditions under which multiple informed traders can coexist in the long run. Building on the limited participation framework of Basak and Cuoco (1998), the authors introduce traders with distinct time discount rates and develop a multi-agent model by integrating general equilibrium theory, dynamic asset pricing, and stochastic optimization techniques. The paper provides, for the first time in a setting with multiple informed traders, explicit parametric conditions guaranteeing the existence of a Radner equilibrium and characterizes sufficient conditions for the long-term survival of all trader types. It further elucidates how heterogeneity in time preferences shapes the equilibrium structure and dynamic evolution of markets with asymmetric information.

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.

Problem

• Kyle model
• Radner equilibrium
• multiple insiders
• time preference
• trader survival

Innovation

• Radner equilibrium
• heterogeneous time preferences
• constant relative risk aversion
• market survival
• limited participation