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


Journal of Economic Methodology

2015, vol. 22, n°2, pp.235-240

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

Accurate Methods for Approximate Bayesian Computation Filtering


Journal of Financial Econometrics

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

Départements : Finance, 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


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


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

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


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.

Business Partners: Complementary Assets, Financing, and Invention Commercialization


Journal of Economics and Management Strategy

été 2015, vol. 24, n°2, pp.228-252

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

This paper assesses the relative importance of the complementary assets and financial capital that business partners may add to the original inventor-entrepreneur. Projects run by partnerships were five times as likely to reach commercialization as those without business partners, and they had mean revenues approximately 10 times as great as projects run by solo entrepreneurs. These gross differences may be due both to partners impacting business success that is, who the particular partners were, and to selection of the type of project or of whom to select as a partner. After controlling for selection effects and observed/unobserved heterogeneity, the smallest estimate of partners' complementary assets approximately doubles the probability of commercialization and increases expected revenues by 29% at the sample mean. Our findings suggest that a critical policy option to increase commercialization rates and revenues for early-stage businesses is to support the market for finding skilled partners

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


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

Detecting heterogeneous risk attitudes with mixed gambles


Theory and Decision

décembre 2015, vol. 79, n°4, pp.573-600

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

Mots clés : Individual risk taking behavior, Latent heterogeneity, Finite mixture models, Reference-dependence, Loss aversion

We propose a task for eliciting attitudes towards risk that is close to real world risky decisions which typically involve gains and losses. The task consists of accepting or rejecting gambles that provide a gain with probability p and a loss with probability 1 - p. We employ finite mixture models to uncover heterogeneity in risk preferences and find that (i) behavior is heterogeneous, with slightly less than one half of the subjects behaving as expected utility maximizers, (ii) for the others, reference-dependent models perform better than those where subjects derive utility from final outcomes, (iii) models with sign dependent decision weights perform better than those without, and (iv) there is no evidence for loss aversion. The procedure is sufficiently simple so that it can be easily used in field or lab experiments where risk elicitation is not the main experiment

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


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


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