Search results for "Representative agent"
showing 5 items of 5 documents
The many faces of human sociality: uncovering the distribution and stability of social preferences
2018
There is vast heterogeneity in the human willingness to weigh others' interests in decision making. This heterogeneity concerns the motivational intricacies as well as the strength of other-regarding behaviors, and raises the question how one can parsimoniously model and characterize heterogeneity across several dimensions of social preferences while still being able to predict behavior over time and across situations. We tackle this task with an experiment and a structural model of preferences that allows us to simultaneously estimate outcome-based and reciprocity-based social preferences. We find that non-selfish preferences are the rule rather than the exception. Neither at the level of …
The shape of small sample biases in pricing kernel estimations
2016
AbstractNumerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio of two separate density estimations. In the first step, we analyse theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader regarding potential computational issues coupled with statistical techniques. In the second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that est…
Clusters of Traders in Financial Markets
2020
In this chapter we discuss Aoki’s work on the description of clusters of economic agents acting in a market. Specifically, we briefly discuss his work on the Ewens distribution and its application in a model of stock market with heterogeneous agents. We then review recent empirical analyses on the heterogeneity of financial market participants and make a working hypothesis for an empirical study on the distribution of the number of clusters of market participants in a real stock market monitored with a resolution down to the shadowed identity of market participants.
Identification of efficient equilibria in multiproduct trading with indivisibilities and non-monotonicity
2018
Abstract This paper focuses on multiproduct trading with indivisibilities and where a representative agent may have non-monotonic preferences. In this framework, the set of firms’ profits (which comes from efficient subgame perfect Nash equilibria) is the Pareto frontier of some projection of the core of the game. We show that under monotonicity efficient subgame perfect Nash equilibria are achieved by single offers and the equilibrium characterization is easy to obtain. When dealing with non-monotonic preferences the problem becomes more challenging. Then, we define a pair of primal–dual linear programming problems that fully identifies the core of the game. A set of modified versions of t…
Proportional Small Sample Bias in Pricing Kernel Estimations
2014
Numerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio of two separate density estimations. In a first step, we analyze theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader of potential computational issues coupled with statistical techniques. In a second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that estimated pricing kern…