# Elyès JouiniParis Dauphine University | UPD · Center for Research in Decision Mathematics

Elyès Jouini

Professor

## About

154

Publications

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Introduction

**Skills and Expertise**

Additional affiliations

September 2000 - present

September 1998 - July 2000

September 1992 - August 2000

## Publications

Publications (154)

Even though females currently outnumber males in higher education, they remain largely underrepresented in math-related fields of study, with no sign of improvement during the past decades. To better understand which students drive this underrepresentation, we use PISA 2012 data on 251,120 15-year-old students in 61 countries to analyse boys’ and g...

Consider a firm owned by shareholders with heterogeneous beliefs and run by a manager who chooses random production plans. Shareholders do not observe the chosen plan but only its realization. The financial market consists of assets contingent on production realizations. A contract for the manager specifies her compensation as a function of the fir...

I develop a continuous-time general equilibrium model with a continuum of states of the world and a continuum of agents endowed with heterogeneous beliefs. The model permits to analyze the interactions between financial markets and production. There is a single firm that faces convex adjustment costs and maximizes its terminal value. Equivalently,...

Consider a firm owned by shareholders with heterogeneous beliefs and discount rates who delegate to a manager the choice of a production plan. The shareholders and the manager can trade contingent claims in a complete asset market. Shareholders cannot observe the chosen production plan and design a compensation scheme so that at equilibrium the man...

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 correlation means that the most optimistic agents are also the m...

Significance
Recent research has found that the strong underrepresentation of women in math-related fields is more pronounced in more egalitarian and more developed countries. This pattern has been called the “gender-equality paradox.” We show that stereotypes relating math primarily to men are actually stronger in more egalitarian and more develop...

In both arbitrage and utility pricing approaches, the fictitious completion appears as a powerful tool that permits to extend complete markets results to an incomplete markets framework. Does this technique permit to characterize the equilibrium pricing interval? This note provides a negative answer.

We develop a continuous-time general equilibrium model with a continuum of states of the world and a continuum of agents endowed with heterogeneous beliefs. The model permits to analyze the interactions between
financial markets and production. There is a single
firm that faces convex adjustment costs and maximizes its terminal value. Equivalentl...

Consider a firm owned by shareholders with heterogeneous beliefs and run by a manager. Shareholders can trade contingent claims in a complete asset market. The manager is given a contract so that at equilibrium she chooses the plan preferred by shareholders. We show that the contract should restrict the manager from trading. Moreover, the marginal...

Consider a firm owned by shareholders with heterogeneous beliefs and discount rates who delegate to a manager the choice of a production plan. The shareholders and the manager can trade contingent claims in a complete asset market. Shareholders cannot observe the chosen production plan and design a compensation scheme so that at equilibrium the man...

Pricing Risk in a Context of Heterogeneous BeliefsPricing Risk in a Context of Heterogeneous Beliefs
The aim of this paper is to analyze the consequences of introducing heterogeneous beliefs and impatience rates in otherwise standard valuation models. We first show that the various arguments put forward in the literature to deny this heterogeneity...

We present a theoretical model of health beliefs and behaviors that explicitly takes into account the emotional impact of possible bad news (i.e., illness), ex-ante in the form of anxiety and ex-post in the form of disappointment. Our model makes it possible to explain (simultaneously) a number of anomalies such as ’low’ testing rates, heterogeneou...

While gender gaps in average math performance are now close to zero in developed countries, women are still strongly underrepresented among math high performers (1). This gender gap contributes to the underrepresentation of women in math and science in higher education and to their subsequent worse position in the labor market (2, 3). With the role...

We study the effects of the presence of a negative stereotype on the formation of self-confidence and on decision-making in achievement-related situations. We take into account not only consumption utility but also psychological utility (ex-ante ego utility and ex-post disappointment/elation). We show that any stereotype of lower ability (in the fo...

We analyze a model with two types of agents: standard agents and gurus, i.e. agents who have the ability to influence the other investors. Gurus announce their beliefs and act accordingly. Gurus are strategic: they take into account the impact of their announced beliefs on the other agents, hence on prices. Standard agents observe gurus' performanc...

We discuss Oster et al.’s (2013) model and propose an alternative model of optimal expectations to accommodate data on genetic testing.

Irrational agents are driven out of the market. This should favor learning: Irrational agents observing that rational agents are being more successful should adopt rational beliefs. We show that the threat of elimination is not sufficient to push agents toward rationality: A shorter “life” might be more rewarding than a longer one. Even if they are...

There are in health beliefs and behaviors a number of well-known anomalies. This paper presents a model of health beliefs and behaviors that explicitly takes into account the psychological impact of possible bad news (i.e. illness), in the form of ex-ante anxiety and ex-post disappointment of bad news. Health beliefs are determined by the optimal t...

We revisit the model proposed by Gollier and Muermann [Gollier C, Muermann A (2010) Optimal choice and beliefs with ex ante savoring and ex post disappointment. Management Sci. 56(8):1272–1284; hereafter, GM]. In the GM model, for a given lottery, agents form anticipated expected payoffs and the set of possible anticipations is assumed to be exogen...

The post-revolutionary situation in Tunisia : the State, the financing of the economy and the banking system
In this article, we focus on the role of the State in financing the economy and insist upon the necessity for the Government to promote a long-term vision integrating financial markets, « public-private partnerships » and external financing....

À première vue le tableau est sombre. L’économie tunisienne est aujourd’hui très mal en point. À une politique économique qui a privilégié la rente au profit d’une minorité a succédé une politique du court-terme qui navigue à vue. La situation sociale est inquiétante et le mécontentement est grandissant. La croissance, ralentie et inégalement répar...

We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret t...

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general multi-currency financial market model with proportional transaction costs. In our setting, transaction costs may be random, time-dependent, have jumps and the preferences of the agents are modeled by multivaria...

Kimball established that income risk increases the marginal propensity to consume if and only if absolute prudence decreases. We characterize decreasing and increasing multivariate prudence and show that a multidimensional risk increases the marginal propensity to consume if and only if absolute prudence decreases with wealth, in the sense that its...

In this paper we extend the theory of precautionary saving to the case in which uncertainty is multidimensional and we develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and increasing prudence, the effect of uncertainty on the marginal propensity to consume out of wealth, and the Drèze-...

In this paper we analyse the risk attitude of a group of heterogenous agents and we develop a theory of comparative collective risk tolerance. In particular, we characterize how shifts in the distribution of individual levels of risk tolerance affect the representative agent's degree of risk tolerance. In the model with efficient risk – sharing and...

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 but allowing for heterogeneity among individual beliefs, we show that the representative agent has an inverse S-sh...

Why do investors keep different opinions even though they learn from their own failures and successes? Why do investors keep different opinions even though they observe each other and learn from their relative failures and successes? We analyze beliefs dynamics when beliefs result from a very general learning process that favors beliefs leading to...

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model of foreign currencies with proportional transaction costs. In our setting, transaction costs may be random, time-dependant, have jumps and the preferences of the agents are modeled by mul...

We provide a discipline for belief formation through a model of subjective beliefs, in which agents hold strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can choose (consciously or not) in order to maximize their utility at the equilibrium. These strategic beliefs result from an evolutionary process. We fin...

La déconnexion entre l'économie réelle et la sphère financière est un thème récurrent du débat public. Pour mieux comprendre la manière dont les valorisations financières peuvent évoluer de façon erratique, sans lien apparent avec l'économie réelle, il faut se pencher sur la façon dont les intervenants sur les marchés financiers se comportent concr...

La finance peut-elle être durable? Les deux termes sont révélateurs d'aspirations contradictoires : une exigence de performances à court terme d'une part, accrue par l'accélération continue des échanges et, d'autre part, un besoin de pérennité porté par le souci des générations futures. La finance durable ne saurait pourtant être réduite à un artif...

We analyze a model with two types of agents: standard agents and gurus, i.e. agents who have the ability to influence the other investors. Gurus announce their beliefs and act accordingly. Each investor has a preferred guru and follows his recommendations. Prices are determined through a classical Walras mechanism. Gurus are strategic: they take in...

This chapter addresses the history, use and significance of the term transaction costs. Few words in the economic language have been more abused or fought over and this is shown to result from the emergence of two distinct definitions and uses. The 'Neoclassical' definition rests on the costs of trading across a market, while the 'property rights'...

This is the fourth volume of the Paris-Princeton Lectures in Mathematical Finance. The goal of this series is to publish cutting edge research in self contained articles prepared by established academics or promising young researchers invited by the editors. Contributions are refereed and particular attention is paid to the quality of the expositio...

We provide general representations for the rate of return and the volatility of a risky asset and for the optimal portfolios in equilibrium with heterogeneous agents. Our universal representations allow for arbitrary utility functions and an arbitrary diffusion process for the state variable. The key element is a new object that we call the "rate o...

Agents impatience rate and their anticipations about the future of the economy, are two essential determinants of the equilibrium discount rate, as illustrated by the Ramsey formula. Heterogeneity in time preference rates and in anticipations is widely acknowledged. Our objective is to determine the equilibrium discount rate when this heterogeneity...

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

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 pessimism and optimism that lead to countercyclical market...

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 among individual beliefs and individual time preferenc...

Egalement paru dans les Cahiers de la Chaire "Les Particuliers face au Risques", numéro 2008/11 We address the problem of a social planner who, as in Weitzman (2001), gathers data on experts' discount rates and wants to infer the socially eﬃ- cient consumption discount rate. We propose an 'equilibrium approach' and we analyse the expression and the...

La crise financière actuelle n'est pas une crise des " subprimes " mais une crise de la finance mondiale. La finance islamique constitue à un double titre une solution, au moins partielle, à cette crise : - elle refuse le transfert de risque qui est à l'origine de la crise de la finance " conventionnelle " ; - elle représente un gisement d'épargne...

Intitulé sur la page de l'IFD "Behavioral Biases and Representative Agent" 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- co...

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of unbiased disagreement on the behavior of financial markets...

We provide a discipline for belief formation through a model of subjective beliefs, in which agents hold incorrect but strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can choose (consciously or not) in order to maximize their utility at the equilibrium. We find that strategic behaviour leads to belief subj...

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of unbiased disagreement on the behavior of financial markets...

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset returns. Journal of Economic Dynamics and Control 26,...

Cet article est également édité dans les Cahiers de la Chaire "Les Particuliers face aux Risques" del'Institut de Finance de Dauphine, cahier n°14, octobre 2007 This paper derives the properties of the discount rate that should be applied to a public-sector project when the affected population has heterogeneous degrees of impatience. We show that,...

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 respectively concave and convex. Here, we also assume th...

We address the problem of a social planner who, as in Weitzman (2001), gathers data on experts' discount rates and wants to infer the socially efficient consumption discount rate. We propose an 'equilibrium approach' and we analyse the expression and the properties of the resulting 'equilibrium discount rate'. We compare our expression for the disc...

We analyse a model of partially revealing, rational expectations equilibrium with diverse information, endogenous beliefs formation and uncertain distribution of risk aversion. More risk averse agents are then more optimistic. Such a positive correlation is important for collective decision analysis.

Standard models for …nancial markets are based on the simplifying assumption that trading orders can be given and executed in continuous time with no friction. This assumption is clearly a strong idealization of the reality. In particular, securities should not be described by a single price but by a bid and ask curve. As a …rst approximation, one...

Rapport commandé par Paris Europlace oui

La tendance à transférer les risques sur les particuliers, à les sortir des bilans des établissements financiers pour les diluer, notamment sous forme de fonds de placements collectifs dans les avoirs d'une multitude d'épargnants éparpillés, est une tendance lourde de nos économies. La transformation sans pénalités des contrats d'assurance vie en e...

La modélisation et l'analyse des comportements individuels et collectifs vis-à-vis du risque est au coeur des problématiques de recherche de la chaire de la Fondation du Risque " Les particuliers face aux risques : analyse et réponse des marchés " créée grâce au soutien de Groupama. Cette chaire a pour ambition de développer la recherche aussi bien...

In this paper, we point out the role of anticomonotonicity in the characterization of efficient contingent claims, and in the measure of inefficiency size of financial strategies. Two random variables are said to be anticomonotonic if they move in opposite directions. We first provide necessary and sufficient conditions for a contingent claim to be...

Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance.This quantity is of particular importance since it characterizes the consensus belief in risk-taking situations with heterogeneous beliefs. Its estimation leads to a...

We analyze the link between pessimism and risk-aversion. We consider a model of partially revealing, competitive rational expectations equilibrium with diverse information, in which the distribution of risk-aversion across individuals is unknown. We show that when a high individual level of risk-aversion is taken as a signal for a high average leve...

The objective of this paper is to adopt a general equilibrium model and determine the socially efficient discount factor, risk free rate and discount rate when there are heterogeneous anticipations about the growth of the economy as well as heterogeneous time preference rates. Among others we tackle the following questions. Is the socially efficien...

We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we derive an upper bound on the call option price by putti...

The aim of this paper is to analyse the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, is shown to be valid modulo an aggregation bias, which takes the form of a discount factor. In classical cases, the consensus proba...

cf. papiers 1) Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs, 2) Strategic Beliefs et 3) Are risk averse agents more pessimistic: insights from a rational expectations model

CF. Papier Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model

Cf. papier Discounting and Divergence of Opinion

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an exp...

The Paris-Princeton Lectures in Financial Mathematics, of which this is the third volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the...

It is an important issue for economic and finance applications to determine whether individuals exhibit a behavioral bias towards pessimism in their beliefs, in a lottery or more generally in an investment opportunities framework. In this paper, we analyze the answers of a sample of 1,540 individuals to the following question Imagine that a coin wi...

In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending rates differ. We show that a securities price system is arbitrage free if and only if there exists a numeraire and an equivalent probability measure for...

This paper is a generalization of [Calvet, L., Grandmont, J.-M., Lemaire, I., 2002. Aggregation of heterogenous beliefs and asset pricing in complete financial markets. Working paper] to a dynamic setting. We propose a method to aggregate heterogeneous individual probability beliefs, in dynamic and complete asset markets, into a single consensus pr...

Voir le document "Is There a Pessimistic Bias in Individual Beliefs? Evidence from a Simple Survey" http://basepub.dauphine.fr/xmlui/handle/123456789/310 oui

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of...

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of...

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage opportunities and we provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models, which present arbitrage opportunities in the absence of fixed costs.
In particular, we prove that th...

Cf. Papiers Consensus Consumer and Intertemporal asset pricing with Heterogeneous Beliefs et Is there a pessimistic bias in individual beliefs? Evidence from survey data

Cf. papier Are risk averse agents more pessimistic; insights from a rational expectations equilibrium model

The aim of this paper is to analyse the impact of heterogeneous beliefs in an otherwise standard competitive complete market
economy. The construction of a consensus probability belief, as well as a consensus consumer, is shown to be valid modulo
an aggregation bias, which takes the form of a discount factor. In classical cases, the consensus proba...

This paper studies the dynamic behavior of security prices in the presence of investors’ heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and highlight the mechanism through which investors’ differences of opinion enter into security prices. In the determination of equilibrium, we employ a representative investor wi...

cf. papiers Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs, Is there a pessimistic bias in individual beliefs ? Evidence from survey data et Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach

Cf. papier Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach

The aim of this paper is to determine whether individuals exhibit a behavioral bias towards pessimism in their beliefs, in a lottery or more generally in an investment opportunities framework. For this purpose, we design a field survey on
a sample of 1,540 individuals aiming at deriving a measure of pessimism from answers to hypothetical scenarios....

S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterization
of law invariant coherent risk measures, satisfying the Fatou property.
The latter property was introduced by F. Delbaen [D 02]. In the
present note we extend Kusuoka's characterization in two directions, the
first one being rather standard, while the second one is somewhat surp...

It is an important issue for economic and finance applications to determine whether individuals exhibit a behavioral bias toward pessimism in their beliefs, in a lottery or more generally in an investment opportunities framework. In this paper, we analyze the answers of a sample of 1,540 individuals to the following question â€œImagine that a coin...

Given the exogenous price process of some assets, we constrain the price process of other assets that are characterized by their final payoffs. We deal with an incomplete market framework in a discrete-time model and assume the existence of the equilibrium. In this setup, we derive restrictions on the state-price deflators. These restrictions do no...

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps–Yan theorem.This paper deals with the validity of this theorem (see Kreps, D.M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical E...

In this paper we propose a generalization of the notion of comonotonicity by introducing and exploring the concept of conditional comonotonicity. We characterize this notion and we show by examples that conditional comonotonicity is the natural extension of the concept of comonotonicity to dynamic settings.
Mathematics Subject Classification (2000)...

In this paper we study the stability (in the L
p
as well as for the almost sure convergence sense) of the optimal investment-consumption strategy with respect to the choice of the utility function.

We define (d,n)-coherent risk measures as set-valued maps from $L^\infty_d$ into $\mathbb{R}^n$ satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner et al. [2]. We then discuss the aggregation issue, i.e., the passage from $\mathbb{R}^d-$ valued random portfolio to $\m...

In this paper, we start by considering market models with fixed costs; in such a context, we characterize the absence of arbitrage opportunity and we provide pricing rules. We then apply these results to extend some classical interest rate and option pricing models. In particular, we prove that the quite surprising result obtained by Dybvig-Ingerso...

The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in th...