In this paper, we show that behavioral features can be obtained at a group level when the individuals of the group are heterogeneous enough. Starting from a standard model of Pareto optimal allocations, with expected utility maximizers and exponential discounting, but allowing for heterogeneity...

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as: fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

Can investors with irrational beliefs be neglected as long as they are rational on average? Do their trades cancel out with no consequences on prices, as implicitly assumed by traditional models? We consider a model with irrational investors, who are rational on average. We obtain waves of...

We model a continuous-time economy with a continuum of investors who differ both in belief and time preference rate and analyze the impact of these heterogeneities on the behavior of financial markets. In particular, we allow the two types of heterogeneity to be correlated: a negative...

As in [3], we study the deterministic optimization problem of a profit-maximizing firm which plans its sales/production schedule. The firm knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and the production cost are assumed to be...

In this paper we prove the existence of general equilibrium with transaction costs generalizing Hahn's (Review of Economic Studies, 1973, 40, 449-461) model by introducing producers and nonconvexities (in particular we allow for increasing returns in transaction sets). We also recover any...

We consider a general equilibrium model in which the production sector may exhibit increasing returns to scale or more general types of nonconvexities. We assume that the firms follow general pricing rules. Under standard assumptions in this model, we establish an index formula, which...

This paper constructs a closed set Y in R' such that for all y in the boundary of Y Clarke's normal cone to Y at y is equal to R'+. If Y is the production set of a tirm, then the marginal cost pricing rule imposes no restriction. The existence of Y is shown to be equivalent to the existence of a...

We study the deterministic control problem of maximizing utility from consumption of an agent who seeks to optimally allocate his wealth between consumption and investment in a financial asset subject to taxes on benefits with first-in-first-out priority rule on sales. Short-sales are prohibited...