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Arrow–Debreu Equilibria For Rank-Dependent Utilities

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  • Jianming Xia
  • Xun Yu Zhou

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  • Jianming Xia & Xun Yu Zhou, 2016. "Arrow–Debreu Equilibria For Rank-Dependent Utilities," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 558-588, July.
    • Handle: RePEc:bla:mathfi:v:26:y:2016:i:3:p:558-588
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    File URL: http://hdl.handle.net/10.1111/mafi.2016.26.issue-3
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    Citations

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    Cited by:

    1. Xiangyu Wang & Jianming Xia & Zuo Quan Xu & Zhou Yang, 2020. "Minimal Quantile Functions Subject to Stochastic Dominance Constraints," Papers 2008.02420, arXiv.org, revised Aug 2022.
    2. Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
    3. Jiaqin Wei & Jianming Xia & Qian Zhao, 2024. "Time-Consistent Portfolio Selection for Rank-Dependent Utilities in an Incomplete Market," Papers 2409.19259, arXiv.org.
    4. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2019. "Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion," Papers 1904.01745, arXiv.org.
    5. Bahman Angoshtari & Shida Duan, 2024. "Rank-Dependent Predictable Forward Performance Processes," Papers 2403.16228, arXiv.org.
    6. Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
    7. Zuo Quan Xu, 2021. "Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory," Papers 2108.06940, arXiv.org, revised Aug 2022.
    8. Ghossoub, Mario, 2019. "Optimal insurance under rank-dependent expected utility," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 51-66.
    9. Zuo Quan Xu, 2018. "Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework," Papers 1803.02546, arXiv.org, revised Aug 2021.
    10. Guo, Jing & He, Xue Dong, 2017. "Equilibrium asset pricing with Epstein-Zin and loss-averse investors," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 86-108.
    11. Xue Dong He & Zhaoli Jiang, 2020. "Optimal Payoff under the Generalized Dual Theory of Choice," Papers 2012.00345, arXiv.org.
    12. Johannes G. Jaspersen & Richard Peter & Marc A. Ragin, 2023. "Probability weighting and insurance demand in a unified framework," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 48(1), pages 63-109, March.
    13. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
    14. van Bilsen, Servaas & Laeven, Roger J.A., 2020. "Dynamic consumption and portfolio choice under prospect theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 224-237.
    15. Ghossoub, Mario & He, Xue Dong, 2021. "Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 6-22.

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