The Optimal Individual Consumption Under Rank-Dependent Expected Utility

In this paper, we study optimal consumption problems for a represent agent who is inone-date-two-time pure exchange economic environment under the Rank-DependentExpected utility model. We first discuss the existence conditions of optimal solutionsfor pricing kernel given exogenously in the financial market. Secondly, we explorequantile formulation and Lagrange multiplier method to change a non-concaveproblem to a concave programming, and use point-wise optimizer method to givethree sufficient conditions for the individual optimal consumption solutions. Finally, anumerical illustration for the optimal solutions will be given where probability weightfunction is linear, S-shape distorting and reverse distorting function.