ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
研究了在等级依赖效用代理人构成的一期两日期纯交换经济中阿罗-德布鲁均衡存在的条件，并发现资产价格取决于代理人对总体消费增长的主观信念，为股权溢价之谜的解决提供了方向。
Abstract 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.