ARROW-DEBREU EQUILIBRIA FOR RANK-DEPENDENT UTILITIES
文献类型：期刊论文
| 作者 | Xia, Jianming1 ; Zhou, Xun Yu2,3,4
|
| 刊名 | MATHEMATICAL FINANCE
 |
| 出版日期 | 2016-07-01 |
| 卷号 | 26期号:3页码:558-588 |
| 关键词 | rank-dependent utility probability weighting Arrow-Debreu equilibrium state-price density |
| ISSN号 | 0960-1627 |
| DOI | 10.1111/mafi.12070 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000378773400004 |
| 出版者 | WILEY-BLACKWELL |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/23020]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。