Journal article
Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting
- Abstract:
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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...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Accepted manuscript, pdf, 625.2KB)
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- Publisher copy:
- 10.1111/mafi.12200
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Authors
Funding
Columbia University
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Oxford–Man Institute of Quantitative Finance
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Oxford–Nie Financial Big Data Lab
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Bibliographic Details
- Publisher:
- Wiley Publisher's website
- Journal:
- Mathematical Finance Journal website
- Volume:
- 29
- Issue:
- 3
- Pages:
- 898-927
- Publication date:
- 2018-10-01
- Acceptance date:
- 2018-07-18
- DOI:
- EISSN:
-
1467-9965
- ISSN:
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0960-1627
- Source identifiers:
-
927138
Item Description
- Language:
- English
- Keywords:
- Pubs id:
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pubs:927138
- UUID:
-
uuid:af4ec2a5-28a1-4b33-8808-804d47113e58
- Local pid:
- pubs:927138
- Deposit date:
- 2018-10-23
Terms of use
- Copyright holder:
- Wiley Periodicals, Inc
- Copyright date:
- 2018
- Rights statement:
- © 2018 Wiley Periodicals, Inc.
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Wiley at https://doi.org/10.1111/mafi.12200
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