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

De tous les problèmes conçus par la théorie de la décision, le paradoxe d'Allais est peut-être celui qui aura suscité l'intérêt le plus persistant. La théorie y a consacré assez de travaux techniques remarquables pour qu'il soit désormais possible à l'histoire et à la philosophie des sciences de l'examiner réflexivement.Dans sa partie historique, l'article restitue le contexte d'apparition du paradoxe - le colloque de Paris, en 1952, auquel assistaient les principaux théoriciens de la décision du moment. L'axiomatique de von Neumann et Morgenstern en 1947 leur avait donné des raisons nouvelles d'approuver l'hypothèse de l'utilité attendue, et le contre-exemple d'Allais visait précisément à ébranler leur conviction. Les questions de la controverse étaient de type normatif, mais elles se perdirent quand le "paradoxe d'Allais" gagna tardivement la célébrité dans des travaux des années 1980 qui le traitaient comme une simple réfutation empirique. Ils en firent l'enjeu de "théories de l'utilité non-espérée" qu'ils développaient de même sous le seul angle empirique.Dans sa partie philosophique, l'article cherche à évaluer ce déplacement d'interprétation. D'un certain côté, les théoriciens de la décision firent bien de libérer leur travail expérimental des complications du normatif, car ils parvinrent ainsi à des résultats éclairants : l'hypothèse de l'utilité espérée était empiriquement réfutée, la responsabilité principale en revenait à l'axiome d'indépendance de von Neumann-Morgenstern, et l'étape suivante était de transformer adéquatement cet axiome. D'un autre côté, ils eurent tort de négliger un trait fondamental de leur domaine : les comportements observés ne sont informatifs que si les agents sont prêts à les assumer de manière réfléchie, c'est-à-dire à leur prêter une certaine valeur normative. D'après la reconstruction proposée ici, Allais ne voulait faire porter les expériences de choix que sur des sujets rationnels, ou bien sélectionnés au départ, ou bien révélés comme tels par l'expérience. L'article développe ces intuitions en revenant aux travaux des années 1970, aujourd'hui très peu connus, qui, sous l'influence d'Allais, proposèrent des traductions expérimentales de la rationalité, et il invite finalement la théorie de la décision à diversifier ses méthodes en s'inspirant de ces tentatives originales.

Mots clés : Allais Paradox, expected utility theory, von Neumann-Morgenstern, positive vs normative, experimental economics of decision, rationality


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

In this paper, we propose a model of discrete time dynamic congestion games with atomic players. This approach allows to give a precise description of the dynamics induced by the individual strategies of players and to study how the steady state is reached, either when players act selfishly, or when the traffic is controlled by a planner. We model also seasonalities by assuming that departure flows fluctuate periodically with time. We focus mostly on simple networks and give closed form formulas for the long-run equilibrium and optimal latencies, as functions of the seasonality. We then derive computations and bounds on the price of anarchy. We also characterize optimal and equilibrium flows and show that, although they produce different costs, they coincide from some time onwards

Mots clés : Network games, price of anarchy, dynamic flows


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

This paper considers dynamic implementation problems with evolving private information (according to Markov processes). A social choice function is approximately implementable if there exists a dynamic mechanism such that the social choice function is implemented by an arbitrary large number of times with arbitrary high probability in every communication equilibrium. We show that if a social choice function is strictly efficient in the set of social choice functions that satisfy an undetectable condition, then it is approximately implementable. We revisit the classical monopolistic screening problem and show that the monopolist can extract the full surplus in almost all periods with arbitrary high probability.

Mots clés : implementation, Markov Process, undetectability, efficiency


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

Warm-glow refers to other-serving behavior that is valuable for the actor per se, apart from its social implications. We provide axiomatic foundations for warm-glow by viewing it as a form of preference for larger choice sets driven by one's desire for freedom to act selfishly. Specifically, an individual who experiences warm-glow values the availability of selfish options even if she plans to act unselfishly. Our theory accommodates the empirical findings on motivation crowding out and provides clear-cut predictions for empirically distinguishing between warm-glow and other motivations for prosocial behavior, a task of obvious importance for policy. The choice behavior implied by our theory subsumes Riker and Ordeshook (1968) on voting and Andreoni (1989, 1990) on the provision of public goods.

Mots clés : Warm-Glow, Freedom of Choice, Motivation Crowding Out, Altruism, Philanthropy, Public Goods, Ricardian Equivalence, Voter Turnout


Département Economie - Sciences de la Décision

We analyze a toy class of two-player repeated games with two-sided incomplete information. In effect, two players are facing independent decision problems and each of them holds information that is potentially valuable to the other player. We study to what extent, and how, information can be exchanged at equilibrium. We show that, provided one’s initial information is valuable to the other player, equilibria exist at which an arbitrary amount of information is exchanged at an arbitrary high rate. The construction relies on an indefinite, reciprocated, exchange.


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

We analyze a toy class of two-player repeated games with two-sided incomplete information. In effect, two players are facing independent decision problems and each of them holds information that is potentially valuable to the other player. We study to what extent, and how, information can be exchanged at equilibrium. We show that, provided one’s initial information is valuable to the other player, equilibria exist at which an arbitrary amount of information is exchanged at an arbitrary high rate. The construction relies on an indefinite, reciprocated, exchange.


Département Economie - Sciences de la Décision

We study a class of symmetric strategic experimentation games. Each of two players faces a (exponential) two-armed bandit problem, and must decide when to stop experimenting with the risky arm. The equilibrium amount of experimentation depends on the degree to which experimentation outcomes are observed, and on the correlation between the two individual bandit problems. When experimentation outcomes are public, the game is basically one of strategic complementarities. When experimentation decisions are public, but outcomes are private, the strategic interaction is more complex. We fully characterize the equilibrium behavior in both informational setups, leading to a clear comparison between the two. In particular, equilibrium payoffs are higher when equilibrium outcomes are public.


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

We study a class of symmetric strategic experimentation games. Each of two players faces a (exponential) two-armed bandit problem, and must decide when to stop experimenting with the risky arm. The equilibrium amount of experimentation depends on the degree to which experimentation outcomes are observed, and on the correlation between the two individual bandit problems. When experimentation outcomes are public, the game is basically one of strategic complementarities. When experimentation decisions are public, but outcomes are private, the strategic interaction is more complex. We fully characterize the equilibrium behavior in both informational setups, leading to a clear comparison between the two. In particular, equilibrium payoffs are higher when equilibrium outcomes are public.

Mots clés : strategic experimentation, bandit, experimentation


Département Economie - Sciences de la Décision

We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his opponent's actions. We show the existence of a limit value as the time span between two consecutive stages vanishes; this value is characterized through an auxiliary optimization problem and as the solution of an Hamilton-Jacobi equation.


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

We study a two-player, zero-sum, stochastic game with incomplete information on one side in which the players are allowed to play more and more frequently. The informed player observes the realization of a Markov chain on which the payoffs depend, while the non-informed player only observes his opponent's actions. We show the existence of a limit value as the time span between two consecutive stages vanishes; this value is characterized through an auxiliary optimization problem and as the solution of an Hamilton-Jacobi equation.

Contacts  

Département Economie et Sciences de la Décision

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex
France

Faculté  

Gilles STOLTZ

Economie - Sciences de la Décision

Voir le CV

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