The aim of this talk 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.
This is a joint work with Nicole El Karoui and Mohamed Mrad.