This article provides an overview of the literature on the psychological value of time. It discusses various determinants of the discount rate and the possibility of hyperbolic discounting. The historical approach helps us to trace the origins of the concept of psychological value of time. This...

Acteurs incontournables des marchés financiers, les hedge funds demeurent mal connus. Qui sont-ils ? Quelles sont leur techniques de gestion ? Qu'offrent-ils de différent en termes de performance et de risque ?

This paper analyses the dynamic implications of an asset-pricing model with incomplete participation due to entry costs. It is shown that heterogeneity in entry costs can lead to the existence of multiple stochastic sunspot equilibria, whereby the number of agents in the market and asset prices...

We investigate the relationship between subjective probabilities of future stock market returns and decisions about stockholding. Specifically, we examine whether acting upon subjective probabilities is confined to individuals with high cognitive skills. We explore this question using data from...

Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more effcient methodologies like the Kalman flter. We show that the copycats constructed...

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...

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...