Arrow-Debreu Equilibria for Rank-Dependent Utilities
Abstract
The speaker and his research group 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, the group derives the state-price density explicitly. Based on the result the group reach several findings, including that asset prices depend upon agents’ subjective beliefs regarding overall consumption growth, that an uncorrelated security’s entire probability distribution and its interdependence with the other part of the economy should be priced, and that there is a direction of thinking about the equity premium and risk-free rate puzzles.
About the speaker
Prof. Zhou Xunyu received his PhD in Applied Mathematics from Fudan University in 1989. He did his postdoctoral research at Kobe University and the University of Toronto from 1989 to 1993. He has been the Nomura Professor of Mathematical Finance and the Director of the Nomura Centre for Mathematical Finance at University of Oxford since 2007. He joined the Chinese University of Hong Kong in 1993, where he is currently Chair Professor of Systems Engineering and Engineering Management.
Prof. Zhou’s primary research area is in quantitative finance, and he has recently been engaged in the study of behavioral finance. He has been the Principal Investigator (PI) of 10 RGC Earmarked Grants, Co-PI of 3 RGC Earmarked Grants, 1 NSFC/RGC Grant, and 1 Industrial Grant. He has published more than 100 journal papers, 1 research monograph, and 2 edited books.
Prof. Zhou is a Fellow of Institute of Electrical and Electronics Engineers (IEEE) and a Croucher Senior Research Fellow. He received numerous awards including Society for Industrial and Applied Mathematics (SIAM) Outstanding Paper Prize, INFORMS Meritorious Service Award, and Alexander von Humboldt Research Fellowship. He is or was on the editorial board of Operations Research, Mathematical Finance, Quantitative Finance, SIAM Journal on Control and Optimization, SIAM Journal on Financial Mathematics, and IEEE Transactions on Automatic Control. He was an invited speaker at the 2010 International Congress of Mathematicians held in India, and plenary speaker of numerous conferences including the 7th World Congress of the Bachelier Finance Society.
