ARROW-DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES

doi:10.1111/mafi.12070

CSpace > 应用数学研究所

	ARROW-DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES
	Xia, Jianming1 ; Zhou, Xun Yu 2,3,4
	2016-07-01
发表期刊	MATHEMATICAL FINANCE
ISSN	0960-1627
卷号	26 期号:3 页码:558-588
摘要	We provide conditions on a one-period-two-date pure exchange economy with rank-dependent utility agents under which Arrow-Debreu equilibria exist. When such an equilibrium exists, we show that the state-price density is a weighted marginal rate of intertemporal substitution of a representative agent, where the weight depends on the differential of the probability weighting function. Based on the result, we find that asset prices depend upon agents' subjective beliefs regarding overall consumption growth, and we offer a direction for possible resolution of the equity premium puzzle.
关键词	rank-dependent utility probability weighting Arrow-Debreu equilibrium state-price density
DOI	10.1111/mafi.12070
语种	英语
资助项目	NSFC (National Natural Science Foundation of China)[11231005] ; NCMIS (National Center for Mathematics and Interdisciplinary Sciences), Chinese Academy of Sciences ; GRF grant[CUHK419511] ; University of Oxford ; Oxford-Man Institute of Quantitative Finance ; East China Normal University
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000378773400004
出版者	WILEY-BLACKWELL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/23021
专题	应用数学研究所
通讯作者	Xia, Jianming
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.E China Normal Univ, Shanghai, Peoples R China 3.Chinese Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China 4.Univ Oxford, Oxford OX1 2JD, England
推荐引用方式 GB/T 7714	Xia, Jianming,Zhou, Xun Yu. ARROW-DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES[J]. MATHEMATICAL FINANCE,2016,26(3):558-588.
APA	Xia, Jianming,&Zhou, Xun Yu.(2016).ARROW-DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES.MATHEMATICAL FINANCE,26(3),558-588.
MLA	Xia, Jianming,et al."ARROW-DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES".MATHEMATICAL FINANCE 26.3(2016):558-588.