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 derive the state-price density explicitly, which is a weighted marginal rate of substitution between the initial...

In this paper we study the expected utility maximization problem for discretetime incomplete financial markets. As shown by Xia and Yan (2000a, 2000b) in the continuous-time case, this problem can be solved by the martingale measure method. In a special discrete-time model, we explicitly work...

This paper investigates monotone solutions of the moral hazard problems without the monotone likelihood ratio property. The optimal monotone solutions are explicitly characterized by a concave envelope relaxation approach for a two-action model in which the principal is risk neutral or exhibits...