Articles

Ambiguity and the Bayesian Approach

I. GILBOA, M. MARINACCI

Advances in Economics and Econometrics: Theory and Applications

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


An analytic calculus for the intuitionistic logic of proofs

B. HILL, F. POGGIOLESI

Notre Dame Journal of Formal Logic

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


Confidence in belief and rational decision making

B. HILL

Economics and Philosophy

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

Mots clés : Confidence, Decision Under Uncertainty, Belief, Rationality

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3144309


The standard, Bayesian account of rational belief and decision is often argued to be unable to cope properly with severe uncertainty, of the sort ubiquitous in some areas of policy making. This paper tackles the question of what should replace it as a guide for rational decision making. It defends a recent proposal, which reserves a role for the decision maker’s confidence in beliefs. Beyond being able to cope with severe uncertainty, the account has strong normative credentials on the main fronts typically evoked as relevant for rational belief and decision. It fares particularly well, we argue, in comparison to other prominent non-Bayesian models in the literature

Explore first, exploite next: the true shape of regret in bandit problems

A. GARIVIER, P. MENARD, G. STOLTZ

Mathematics of Operations Research

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Départements : Economie et Sciences de la décision


We revisit lower bounds on the regret in the case of multi-armed bandit problems. We obtain non-asymptotic, distribution-dependent bounds and provide straightforward proofs based only on well-known properties of Kullback-Leibler divergences. These bounds show in particular that in an initial phase the regret grows almost linearly, and that the well-known logarithmic growth of the regret only holds in a final phase. The proof techniques come to the essence of the information-theoretic arguments used and they are deprived of all unnecessary complications

Perception‐Theoretic Foundations of Weighted Utilitarianism

R. ARGENZIANO, I. GILBOA

Economic Journal

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

https://onlinelibrary.wiley.com/doi/abs/10.1111/ecoj.12622


We provide a microfoundation for a weighted utilitarian social welfare function that reflects common moral intuitions about interpersonal comparisons of utilities. If utility is only ordinal in the usual microeconomic sense, interpersonal comparisons are meaningless. Nonetheless, economics often adopts utilitarian welfare functions, assuming that comparable utility functions can be calibrated using information beyond consumer choice data. We show that consumer choice data alone are sufficient. As suggested by Edgeworth (1881), just noticeable differences provide a common unit of measure for interpersonal comparisons of utility differences. We prove that a simple monotonicity axiom implies a weighted utilitarian aggregation of preferences, with weights proportional to individual jnd's. This article is protected by copyright. All rights reserved

Temporal Discounting of Gains and Losses of Time: An Experimental Investigation

E. KEMEL, M. ABDELLAOUI, C. GUTIERREZ

Journal of Risk and Uncertainty

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


Two-sided reputation in certification markets

M. BOUVARD, R. LEVY

Management Science

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

Mots clés : Certification, Reputation, Credit rating agencies

https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2017.2742


In a market where sellers solicit certification to overcome asymmetric information, we show that the profit of a monopolistic certifier can be hump-shaped in its reputation for accuracy: a higher accuracy attracts high-quality sellers but sometimes repels low-quality sellers. As a consequence, reputational concerns may induce the certifier to reduce information quality, thus depressing welfare. The entry of a second certifier impacts reputational incentives: when sellers only solicit one certifier, competition plays a disciplining role and the region where reputation is bad shrinks. Conversely, this region may expand when sellers hold multiple certifications

Why the Empty Shells Were Not Fired: A Semi-Bibliographical Note

I. GILBOA

Episteme

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


Zero-sum revision games

F. GENSBITTEL, S. LOVO, J. RENAULT, T. TOMALA

Games and Economic Behavior

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

Mots clés : Revision games, Zero-sum games, Deadline effect

https://www.sciencedirect.com/science/article/pii/S0899825617301768


In zero-sum asynchronous revision games, players revise their actions only at exogenous random times. Players' revision times follow Poisson processes, independent across players. Payoffs are obtained only at the deadline by implementing the last prepared actions in the “component game”. We characterize the value of this game as the unique solution of an ordinary differential equation and show it is continuous in all parameters. As the duration of the game increases, the limit revision value does not depend on the initial position and is included between the min-max and max-min of the component game. We characterize the equilibrium for 2×2 games. When the component game min-max and max-min differ, the revision game equilibrium have a wait-and-wrestle structure: far form the deadline, players stay put at sur-place action profile, close to the deadline, they take best responses to the action of the opponent

Belief-free price formation

J. HÖRNER, S. LOVO, T. TOMALA

Journal of Financial Economics

février 2018, vol. 127, n°2, pp.342-365

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

Mots clés : Financial market microstructure, Informed dealers, Price volatility, Belief-free equilibria

https://www.sciencedirect.com/science/article/pii/S0304405X17302921


We analyze security price formation in a dynamic setting in which long-lived dealers re- peatedly compete for the opportunity to trade with short-lived retail traders. We charac- terize equilibria in which dealers’ pricing strategies are optimal irrespective of the private information that each dealer may possess. Thus, our model’s predictions are robust to dif- ferent specifications of the dealers’ information structure. These equilibria reconcile, in a unified and parsimonious framework, price dynamics that are reminiscent of well-known stylized facts: excess price volatility, price to trading flow correlation, stochastic volatility and inventory-related trading


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