@inproceedings{ff977bc55d3b4aef82baacc0fcc708d6,
title = "Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling",
abstract = "The aim of this paper is to describe globally the behavior and preferences of heterogeneous agents. Our starting point is the aggregate wealth of a given economy, with a given repartition of the wealth among investors, which is not necessarily Pareto optimal. We propose a construction of an aggregate forward utility, market consistent, that aggregates the marginal utility of the heterogeneous agents. This construction is based on the aggregation of the pricing kernels of each investor. As an application we analyze the impact of the heterogeneity and of the wealth market on the yield curve.",
keywords = "Heterogeneous preferences, Market-consistent progressive utility, Utility aggregation, Yield curve",
author = "\{El Karoui\}, Nicole and Caroline Hillairet and Mohamed Mrad",
note = "Publisher Copyright: {\textcopyright} 2019, Springer Nature Switzerland AG.; International Workshop on BSDEs, SPDEs and their Applications, BSDE-SPDE 2017 ; Conference date: 03-07-2017 Through 07-07-2017",
year = "2019",
month = jan,
day = "1",
doi = "10.1007/978-3-030-22285-7\_6",
language = "English",
isbn = "9783030222840",
series = "Springer Proceedings in Mathematics and Statistics",
publisher = "Springer New York LLC",
pages = "169--199",
editor = "Cohen, \{Samuel N.\} and Istv{\'a}n Gy{\"o}ngy and \{dos Reis\}, Gon?alo and David Siska and Lukasz Szpruch",
booktitle = "Frontiers in Stochastic Analysis - BSDEs, SPDEs and their Applications - Selected, Revised and Extended Contributions",
}