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

Richard Bradley, Casey Helgeson, B. HILL

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

More haste less speed? Signaling through investment timing


American Economic Journal: Microeconomics

aout 2017, vol. 9, n°3, pp.148-186

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

Mots clés : JEL D21, D82, D83, D92, G31, G32)

We consider a cash-constrained firm learning on the value of an irreversible project at a privately-known speed. Under perfect information, the optimal date of investment may be non-monotonic in the learning speed: better learning increases the value of experimenting further, but also the speed of updating. Under asymmetric information, the firm uses its investment timing to signal confidence in the project and raise cheaper capital from uninformed investors, which may generate timing distortions: investment is hurried when learning is sufficiently fast, and delayed otherwise. The severity of the cash constraint affects the magnitude of the distortion, but not its direction

Optimal Dynamic Information Provision


Games and Economic Behavior

juillet 2017, vol. 104, pp.329-349

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

Mots clés : Dynamic information provision, Optimal strategy, Greedy algorithm, Commitment

We study a dynamic model of information provision. A state of nature evolves according to a Markov chain. An advisor with commitment power decides how much information to provide to an uninformed decision maker, so as to influence his short-term decisions. We deal with a stylized class of situations, in which the decision maker has a risky action and a safe action, and the payoff to the advisor only depends on the action chosen by the decision maker. The greedy disclosure policy is the policy which, at each stage, minimizes the amount of information being disclosed in that stage, under the constraint that it maximizes the current payoff of the advisor. We prove that the greedy policy is optimal in many cases – but not always

Psychophysical foundations of the Cobb–Douglas utility function


Economics Letters

aout 2017, vol. 157, pp.21-23

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

Mots clés : Cobb–Douglas, Weber’s law, Semi-order

Relying on a literal interpretation of Weber’s law in psychophysics, we show that a simple condition of independence across good categories implies the Cobb–Douglas preferences

Regularized Generalized Canonical Correlation Analysis: A Framework for Sequential Multiblock Component Methods



septembre 2017, vol. 82, n°3, pp.737-777

Départements : Economie et Sciences de la décision

Mots clés : consensus PCA, hierarchical PCA, MAXBET, MAXDIFF, MAXVAR, multiblock component methods, PLS path modeling, GCCA, RGCCA, SSQCOR, SUMCOR

A new framework for sequential multiblock component methods is presented. This framework relies on a new version of regularized generalized canonical correlation analysis (RGCCA) where various scheme functions and shrinkage constants are considered. Two types of between block connections are considered: blocks are either fully connected or connected to the superblock (concatenation of all blocks). The proposed iterative algorithm is monotone convergent and guarantees obtaining at convergence a stationary point of RGCCA. In some cases, the solution of RGCCA is the first eigenvalue / eigenvector of a certain matrix. For the scheme functions x, |x|, x2 or x4 and shrinkage constants 0 or 1, many multiblock component methods are recovered

Repeated games with public deterministic monitoring


Journal of Economic Theory

mai 2017, vol. 169, pp.400-424

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

Mots clés : Repeated games, Public monitoring, Pure strategies, Approachability

We consider repeated games with compact actions sets and pure strategies in which players commonly observe a public signal which reveals imperfectly the action profile. We characterize the set of payoffs profiles that can be sustained by a perfect equilibrium, as players become increasingly patient. There are two conditions: admissibility and joint rationality. An admissibly feasible payoff can be achieved by an action profile that offers no unilateral deviation which is both undetectable and profitable. It is jointly rational if for all weights on players, the weighted average payoff is greater than or equal to the minmax level of the weighted average payoff function. This characterization is alternative to the one provided by the “score method” of Fudenberg and Levine (1994). We provide a simple construction of equilibrium strategies based on cooperation, punishments and rewards. Punishments rely on Blackwell's approachability algorithm

Risk-Based Capital Requirements for Banks and International Trade


Review of Financial Studies

novembre 2017, vol. 30, n°11, pp.3970-4002

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

We test the trade finance channel of exports by controlling for the bank credit channel. Using Turkey’s July 2012 adoption of Basel II as a quasi-natural experiment, we examine whether shocks to trade financing costs affect exports. With data for 16,662 Turkish exporters shipping 2,888 different products to 158 countries, we find that the share of letters-of-credit-based exports decreases (increases) when the associated risk weights for counterparty exposure increase (decrease) after the adoption of Basel II. However, growth of firm-product-country-level exports remains unaffected. Trade financing might have a lesser role in exports than previously suggested by the previous literature. © The Author 2017. Published by Oxford University Press on behalf of The Society for Financial Studies

The private financial gains to entrepreneurship: Is it a good use of public money to encourage individuals to become entrepreneurs?


Small Business Economics

février 2017, vol. 48, n°2, pp.323-329

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

Mots clés : Entrepreneurship, Income underreporting, Public policy, Financial incentives

Recent evidence comparing earnings from entrepreneurship versus wage earning shows that, after allowing for obvious observable differences,most entrepreneurs in most developed countries earn less than similar wage-earning employees. Does this mean that the decision to become an entrepreneur should be discouraged? The answer depends in part on whether we believe that entrepreneurs report their income truthfully or not. Adjusting for what is considered to be underreporting by entrepreneurs lifts entrepreneurial earnings by between 10 and 40 %, reversing the fortunes of the entrepreneur such that they appear to be earning much more than theircounterparts in a wage-earning job. If this adjustment should prove to be appropriate, then there is no obvious reason to increase the incentive for individuals to become entrepreneurs (such as with tax breaks or direct start-up subsidies) in developed countries, and there is reason, instead, to discuss decreasing these subsidies