Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
文献类型：期刊论文
| 作者 | Jin, Hanqing3,4; Xia, Jianming1 ; Zhou, Xun Yu2
|
| 刊名 | MATHEMATICAL FINANCE
 |
| 出版日期 | 2019-07-01 |
| 卷号 | 29期号:3页码:898-927 |
| 关键词 | Arrow-Debreu equilibrium comonotone Pareto optimum price equilibrium with transfers probability weighting rank-dependent utility state-price density G11 |
| ISSN号 | 0960-1627 |
| DOI | 10.1111/mafi.12200 |
| 英文摘要 | We study Arrow-Debreu equilibria for a one-period-two-date pure exchange economy with rank-dependent utility agents having heterogeneous probability weighting and outcome utility functions. In particular, we allow the economy to have a mix of expected utility agents and rank-dependent utility ones, with nonconvex probability weighting functions. The standard approach for convex economy equilibria fails due to the incompatibility with second-order stochastic dominance. The representative agent approach devised in Xia and Zhou (2016) does not work either due to the heterogeneity of the weighting functions. We overcome these difficulties by considering the comonotone allocations, on which the rank-dependent utilities become concave. Accordingly, we introduce the notion of comonotone Pareto optima, and derive their characterizing conditions. With the aid of the auxiliary problem of price equilibria with transfers, we provide a sufficient condition in terms of the model primitives under which an Arrow-Debreu equilibrium exists, along with the explicit expression of the state-price density in equilibrium. This new, general sufficient condition distinguishes the paper from previous related studies with homogeneous and/or convex probability weightings. |
| 资助项目 | NSFC (National Natural Science Foundation of China)[11231005] ; Columbia University ; Oxford-Man Institute of Quantitative Finance ; Oxford-Nie Financial Big Data Lab |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000470926900008 |
| 出版者 | WILEY |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/34987]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Zhou, Xun Yu |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, RCSDS, NCMIS, Beijing, Peoples R China 2.Columbia Univ, Dept Ind Engn & Operat Res, New York, NY 10027 USA 3.Univ Oxford, Math Inst, Oxford, England 4.Univ Oxford, Oxford Nie Financial Big Data Lab, Oxford, England |
| 推荐引用方式 GB/T 7714 | Jin, Hanqing,Xia, Jianming,Zhou, Xun Yu. Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting[J]. MATHEMATICAL FINANCE,2019,29(3):898-927. |
| APA | Jin, Hanqing,Xia, Jianming,&Zhou, Xun Yu.(2019).Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting.MATHEMATICAL FINANCE,29(3),898-927. |
| MLA | Jin, Hanqing,et al."Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting".MATHEMATICAL FINANCE 29.3(2019):898-927. |
入库方式： OAI收割
来源：数学与系统科学研究院
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