Articles

A world of models: review of Mary S. Morgan, The world in the model: how economists work and think (book review)

I. GILBOA

Journal of Economic Methodology

2015, vol. 22, n°2, pp.235-240

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

http://www.tandfonline.com/doi/full/10.1080/1350178X.2015.1037545


Accurate Methods for Approximate Bayesian Computation Filtering

L. CALVET, V. CZELLAR

Journal of Financial Econometrics

automne 2015, vol. 13, n°4, pp.798-838

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

Mots clés : Bandwidth, Kernel density estimation, Likelihood estimation, Model selection, Particle filter, State-space model, Value-at-risk forecasts


The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state is intractable. We provide an exact upper bound for the mean squared error of the ABC filter, and derive sufficient conditions on the bandwidth and kernel under which the ABC filter converges to the target distribution as the number of particles goes to infinity. The optimal convergence rate decreases with the dimension of the observation space but is invariant to the complexity of the state space. We show that the adaptive bandwidth commonly used in the ABC literature can lead to an inconsistent filter. We develop a plug-in bandwidth guaranteeing convergence at the optimal rate, and demonstrate the powerful estimation, model selection, and forecasting performance of the resulting filter in a variety of examples

Approval Voting and Arrow's Impossibility Theorem

F. MANIQUET, P. MONGIN

Social Choice and Welfare

mars 2015, vol. 44, n°3, pp.519-532

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


Approval voting has attracted considerable attention in voting theory, but ithasrarelybeeninvestigatedinanArrovianframeworkofcollectivepreference(”socialwelfare”) functions and never been connected with Arrow’s impossibility theorem.The article explores these two directions. Assuming that voters have dichotomouspreferences, it first characterizes approval voting in terms of its collective preferenceproperties and then shows that these properties become incompatible if the collectivepreference is also taken to be dichotomous. As approval voting and majority votinghappen to share the same collective preference function on the dichotomous domain,the positive result also bears on majority voting, and is seen to extend May’s andInada’s early findings on this rule. The negative result is a novel and perhaps surprisingversion of Arrow’s impossibility theorem, because the axiomatic inconsistency herestems from the collective preference range, not the individual preference domain

Approximate Implementation In Markovian Environments

T. TOMALA, L. RENOU

Journal of Economic Theory

septembre 2015, vol. 159, Part A, pp.401-442

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

Mots clés : Implementation, Approximation, Undetectability, Efficiency, Dynamic, Mechanism Design, Markov Processes

http://dx.doi.org/10.2139/ssrn.2267373


This paper considers dynamic implementation problems in environments with changing private information (according to Markov processes). A social choice function is approximately implementable if it is correctly implemented an arbitrary large number of times with arbitrary high probability in all (communication) equilibria. We show that if a social choice function is strictly efficient in the set of social choice functions that satisfy an undetectability condition, then it is approximately implementable

Banque et nouvelles technologies: La nouvelle donne

O. KLEIN

Revue d'Économie Financière

2015, vol. 4/2015, n°120, pp.17-22

Départements : Economie et Sciences de la décision


Les nouvelles technologies engendrent pour chacun un nouveau rapport au monde et induisent une série de révolutions en chaîne, dans notre vie quotidienne comme dans l’entreprise. La première est une révolution commerciale, qui bouleverse les rapports entre les producteurs, les distributeurs et les clients, aux bénéfices de ces derniers. La révolution technologique positionne également les collaborateurs au centre de l’entreprise, avec des impacts sur l’organisation. Enfin, le facteur sociétal est désormais prépondérant, car la société devient une véritable partie prenante de l’entreprise, Internet et réseaux sociaux obligent.L’entreprise-banque, et plus spécifiquement la banque commerciale, n’échappe pas à ces bouleversements, bien au contraire, étant au coeur de l’activité économique. La banque doit donc se réinventer, sans perdre de temps. Les gens n’ont pas moins besoin de banques et la relation intuitu personae reste un élément fondamental du métier de banquier. Selon nous, la seule issue passe par la réinvention de la banque de proximité capable de promouvoir ce que nous pouvons appeler « la banque sans distance » qui offre plus de praticité, de pertinence et de personnalisation du conseil.

Common knowledge: a finitary calculus with a syntactic cut-elimination procedure

F. POGGIOLESI, Brian HILL

Logique et Analyse

juin 2015, vol. 58, n°230, pp. 279-306

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


In this paper we present a finitary sequent calculus for the S5 multi-modal system with common knowledge. The sequent calculus is based on indexed hyper-sequents which are standard hypersequents refined with indices that serve to show the multi-agent feature of the system S5. The calculus has a non-analytic right introduction rule. We prove that the calculus is contraction- and weakening-free, that (almost all) its logical rules are invertible, and finally that it enjoys a syntactic cut-elimination procedure. Moreover, the use of the non-analytic rule can be restricted so that the calculus can be considered as suitable for proof search

Experiments on compound risk in relation to simple risk and to ambiguity

M. ABDELLAOUI, P. KLIBANOFF, L. PLACIDO

Management Science

juin 2015, vol. 61, n°6, pp.1306-1322

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

Mots clés : ambiguity; Ellsberg paradox; reduction of compound lotteries


We conduct experiments measuring individual behavior under compound risk, simple risk, and ambiguity. We focus on (1) treatment of compound risks relative to simple risks and (2) the relationship between compound risk attitudes and ambiguity attitudes. We find that compound risks are valued differently than corresponding reduced simple risks. These differences measure compound risk attitudes. These attitudes display more aversion as the reduced probability of the winning event increases. Like Halevy [Halevy Y (2007) Ellsberg revisited: An experimental study. Econometrica 75:503–536], we find an association between compound risk reduction and ambiguity neutrality. However, in contrast to the almost perfect identification in Halevy’s data, we find a substantially weaker relation in both directions. First, a majority of our ambiguity-neutral subjects fail toreduce compound risk. Second, almost a quarter of our subjects who reduce compound risk are nonneutral to ambiguity. All of the latter come from the more quantitatively sophisticated part of our subject pool

La crise financière : enseignements et perspectives

O. KLEIN

Revue d'Économie Financière

mars 2015, n°117, pp.277-293

Départements : Economie et Sciences de la décision


La dernière crise financière, dont les conséquences sont encore présentes aujourd’hui de par la croissance nulle ou ralentie que connaissent les différentes zones du monde, a été d’une violence inégalée depuis la Seconde Guerre mondiale. Les enseignements que l’on peut en tirer, comme les perspectives que l’on trace de façon encore incertaine, nécessitent de revenir sur les causes de la grande crise financière et économique de 2007-2009, puis sur les causes idiosyncratiques de la crise de la zone euro. Enfin, on pourra tenter d’en tirer quelques enseignements et se demander si cette crise a été résolue ou si elle peut rebondir

Preferences with grades of indecisiveness

S. MINARDI, A. SAVOCHKIN

Journal of Economic Theory

janvier 2015, vol. 155, pp.300-331

Départements : Economie et Sciences de la décision

Mots clés : Incomplete preferences; Knightian uncertainty; Graded preferences; Confidence; Decisiveness

http://dx.doi.org/10.1016/j.jet.2014.11.009


Departing from the traditional approach of modeling indecisiveness based on the weakening of the completeness axiom, we introduce the notion of graded preferences: The agent is characterized by a binary relation over (ordered) pairs of alternatives, which allows her to express her inclination to prefer one alternative over another and her confidence in the relative superiority of the indicated alternative. In the classical Anscombe-Aumann framework, we derive a representation of a graded preference by a measure of the set of beliefs that rank one option better than the other. Our model is a refinement of Bewley's [6] model of Knightian uncertainty: It is based on the same object of representation — the set of beliefs — but provides more information about how the agent compares alternatives

Ranking multidimensional alternatives and uncertain prospects

P. MONGIN, M. PIVATO

Journal of Economic Theory

mai 2015, vol. 157, pp.146-171

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

Mots clés : Multiattribute utility, Separability, Subjective probability, Harsanyi, Koopmans, Ex ante versus ex post welfare

http://dx.doi.org/10.1016/j.jet.2014.12.013


We introduce a ranking of multidimensional alternatives, including uncertain prospects as a particular case, when these objects can be given a matrix form. This ranking is separable in terms of rows and columns, and continuous and monotonic in the basic quantities. Owing to the theory of additive separability developed here, we derive very precise numerical representations over a large class of domains (i.e., typically not of the Cartesian product form). We apply these representations to (1) streams of commodity baskets through time, (2) uncertain social prospects, (3) uncertain individual prospects. Concerning (1), we propose a finite horizon variant of Koopmans's (1960) [25] axiomatization of infinite discounted utility sums. The main results concern (2). We push the classic comparison between the ex ante and ex post social welfare criteria one step further by avoiding any expected utility assumptions, and as a consequence obtain what appears to be the strongest existing form of Harsanyi's (1955) [21] Aggregation Theorem. Concerning (3), we derive a subjective probability for Anscombe and Aumann's (1963) [1] finite case by merely assuming that there are two epistemically independent sources of uncertainty


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