Date
2012-07
Dewey
Economie financière
Sujet
Behavioral agent; representative agent; neurofinance; Probability Weighting Function; Hyperbolic Discounting
JEL code
G11; D81; D84; D87; H43
Conference name
35th Seminar of the European Group of Risk and Insurance Economics
Conference date
09-2008
Conference city
Toulouse
Conference country
France
Author
Jouini, Elyès
Napp, Clotilde
Type
Communication / Conférence
Item number of pages
28
Abstract (EN)
In this note, we consider an economy with heterogeneous agents, differing by their time preference rate and by their beliefs. We show that
at the Pareto optimum, the representative agent exhibits interesting behavioral properties. More precisely, starting from a standard model with expected utility maximizers and exponential discounting, but allowing for
heterogeneity among agentsí beliefs and time preference rates, we obtain at the representative agent level an inverse S-shaped probability distribution weighting function and hyperbolic discounting. We provide possible interpretation and applications for this result.