Date
2012
Dewey
Economie financière
Sujet
Hyperbolic Discounting; Behavioral Agent; Neurofinance; Representative Agent; Probability Weighting Function
JEL code
D87; D03; H43; D84; G11; D81
Journal issue
Theory and Decision
Volume
73
Number
1
Publication date
2012
Article pages
97-123
Publisher
Springer
Author
Jouini, Elyès
Napp, Clotilde
Type
Article accepté pour publication ou publié
Abstract (EN)
In this paper, we show that behavioral features can be obtained at a group level when the
individuals of the group are heterogeneous enough. More precisely, starting from a standard
model of Pareto optimal allocations, with expected utility maximizers and exponential dis-
counting, but allowing for heterogeneity among agentsíbeliefs and time preference rates, we
show that the representative agent exhibits interesting behavioral properties. In particular,
we obtain an inverse S-shaped probability distribution weighting function and hyperbolic
discounting. We provide possible interpretation as well as applications for this result.