A Genuine Rank-dependent Generalization of the von Neumann-Morgenstern Expected Utility Theorem



2002, vol. 70, n°2, pp.717-736

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

Mots clés : Probability weighting, Expected utility, Rank-dependent utility, Probability trade-offs, Probabilistic risk attitude

A Cognitive Foundation of Probability

I. GILBOA, D. Schmeidler

Mathematics of Operations Research

2002, vol. 27, pp.68-81

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

Analyse factorielle multiple et approche PLS


Revue de Statistique Appliquée

mars 2002, vol. 50, pp.5-33

Départements : Economie et Sciences de la décision

Assessment of Sun Reactive Skin Type With Multiple Correspondence Analysis, Hierarchical and Tree-Structured Classification Methods


International Journal of Cosmetic Science

2002, vol. 24, pp.207-216

Départements : Economie et Sciences de la décision

Bargaining Over an Uncertain Outcome: The Role of Beliefs

A. Billot, A. Chateauneuf, I. GILBOA, J. Tallon

Decisions in Economics and Finance

2002, vol. 25, pp.33-45

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

Blackwell Optimality in Markov Decision Processes with Partial Observation


Annals of Statistics

août 2002, vol. 30, n°4, pp.1178-1193

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

Competitive Equilibrium with Moral Hazard in Economies with Multiple Commodities

A. Villanacci, A. CITANNA

Journal of Mathematical Economics

septembre 2002, vol. 38, n°1-2, pp.117-147

Départements : Economie et Sciences de la décision

Mots clés : General equilibrium, Moral hazard, Constrained suboptimality

We study an economy with competitive commodity markets and exclusive pairwise contractual relations with moral hazard, where both the principal and the agent can be risk averse. We show existence of equilibria and their generic constrained suboptimality, by means of a change in the compensation schemes. Such suboptimality occurs provided the number of commodities is sufficiently large relative to the number of states and pair types, and there are at least three future states of the world

Continuous-time Dynkin Games with Mixed Strategies

N. Touzi, N. VIEILLE

SIAM Journal on Control and Optimization

2002, vol. 41, n°4, pp.1073-1088

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

Let (X,Y,Z) be a triple of payoff processes defining a Dynkin game \tilde R(\sigma,\tau) &=& E\left[ X_\sigma\1_{\{\tau > \sigma\}} +Y_\tau \1_{\{\tau < \sigma\}} +Z_\tau \1_{\{\tau=\sigma\}}\right] , where $\sigma$ and $\tau$ are stopping times valued in [0,T]. In the case Z=Y, it is well known that the condition X $\leq$ Y is needed in order to establish the existence of value for the game, i.e., $\inf_{\tau}\sup_{\sigma}\tilde R(\sigma,\tau)$ $=$ $\sup_{\sigma}\inf_{\tau}\tilde R(\sigma,\tau)$.In order to remove the condition X $\leq$ Y, we introduce an extension of the Dynkin game by allowing for an extended set of strategies, namely, the set of mixed strategies. The main result of the paper is that the extended Dynkin game has a value when $Z\leq Y$, and the processes X and Y are restricted to be semimartingales continuous at the terminal time T.

Correlated Equilibrium in Stochastic Games

E. Solan, N. VIEILLE

Games and Economic Behavior

février 2002, vol. 38, n°2, pp.362-399

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

We study the existence of uniform correlated equilibrium payoffs in stochastic games. The correlation devices that we use are either autonomous (they base their choice of signal on previous signals, but not on previous states or actions) or stationary (their choice is independent of any data and is drawn according to the same probability distribution at every stage). We prove that any n-player stochastic game admits an autonomous correlated equilibrium payoff. When the game is positive and recursive. a stationary correlated equilibrium payoff exists.

Even Risk-Averters May Love Risk

M. SCARSINI, A. Müller

Theory and Decision

2002, vol. 52, n°1, pp.81-99

Départements : Economie et Sciences de la décision

A decision maker bets on the outcomes of a sequence of coin-tossings. At the beginning of the game the decision maker can choose one of two coins to play the game. This initial choice is irreversible. The coins can be biased and the player is uncertain about the nature of one (or possibly both) coin(s). If the player is an expected-utility maximizer, her choice of the coin will depend on different elements: the nature of the game (namely, whether she can observe the outcomes of the previous tosses before making her next decision), her utility function, the prior distribution on the bias of the coin. We will show that even a risk averter might optimally choose a riskier coin when learning is allowed. We will express most of our results in the language of stochastic orderings, allowing comparisons that are valid for large classes of utility functions