Articles scientifiques

Risk Versus Ambiguity and International Security Design


Journal of International Economics

juillet 2018, vol. 113, pp.74-105

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : Ambiguity aversion; Risk aversion; Debt/equity choice; International capital flows; International insurance; Home bias

We study portfolio allocation and characterize contracts issued by firms in the international financial market when investors exhibit ambiguity aversion and perceive ambiguity in assets issued in foreign locations. Increases in the variance of their risky production process cause firms to issue assets with a higher variable payment (equity). Hikes in investors’ perceived ambiguity have the opposite effect, and lead to less risk-sharing. Entrepreneurs from capital-scarce countries finance themselves relatively more through debt than equity. They are thus exposed to higher volatility per unit of consumption. The expected returns on capital invested in capital-scarce countries may also be lower. Such results do not hold in the absence of ambiguity, that is, when investors only perceive risk. New facts uncovered from cross-country firm-level data are consistent with our model

Bref addendum sur la « conception expérimentale de la rationalité »


Revue Economique

avril 2017, vol. 68, pp.701-703

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Un article précédent défendait, en l’attribuant à Allais et à ses successeursMacCrimmon et Larsson, une conception inédite qui recommanderait d’étudiersur des données de comportement non seulement la conformité des individusaux règles normatives, mais encore la normativité même de ces règles. Cet article a suscité de la part de Dorian Jullien des commentaires auxquels nous répondons ici

Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data


Mathematics of Operations Research

février 2017, vol. 42, n°1, pp.167-178

Départements : Economie et Sciences de la décision

Mots clés : smooth ambiguity; variational preferences; revealed preference; completely monotone functions; Afriat inequalities; moment problem

In the Anscombe-Aumann setup, we provide conditions for a collection of observations to be consistent with a well-known class of smooth ambiguity preferences (Klibanoff P, Marinacci M, Mukerji S (2005) A smooth model of decision making under ambiguity. Econometrica 73(6):1849–1892.). Each observation is assumed to take the form of an equivalence between an uncertain act and a certain outcome. We provide three results that describe these conditions for data sets of different cardinality. Our findings uncover surprising links between the smooth ambiguity model and classic mathematical results in complex and functional analysis.

Climate Change Assessments: Confidence, Probability, and Decision


Philosophy of Science

juillet 2017, vol. 84, n°3, pp.500-522

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

The Intergovernmental Panel on Climate Change has developed a novel framework for assessing and communicating uncertainty in the findings published in its periodic assessment reports. But how should these uncertainty assessments inform decisions? We take a formal decision-making perspective to investigate how scientific input formulated in the IPCC’s novel framework might inform decisions in a principled way through a normative decision model

Gross, net, and new job creation by entrepreneurs


Journal of Business Venturing Insights

novembre 2017, vol. 8, pp.64-70

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Mots clés : EntrepreneurshipJob creationIncorporationOccupational choiceSelf-employmentSole proprietorship

Using a dataset with over 24 million year-employment observations and the universe of more than 230,000 entries into entrepreneurship in one economy we analyze the gross (including the founders), net (excluding the founders), and new (jobs to the former unemployed or those outside the labor force) job creation by entrepreneurs two and six years after start-up. These novel measures of job creation show that the average entrepreneur does not create any jobs for any other than him/her-self, and typically arrives from having another job. Thus, short term job creation by entrepreneurs involves a reshuffling of jobs from older to new firms rather than creating new jobs