Robust Social Decisions


American Economic Review

septembre 2016, vol. 106, n°9, pp.2407-2425

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

Mots clés : Social Choice, Clubs, Committees, Associations, Criteria for Decision-Making under Risk, Uncertainty

We propose and operationalize normative principles to guide social decisions when individuals potentially have imprecise and heterogeneous beliefs, in addition to conflicting tastes or interests. To do so we adapt the standard Pareto principle to those preference comparisons that are robust to belief imprecision and characterize social preferences that respect this robust principle. We also characterize a suitable restriction of this principle. The former principle provides stronger guidance when it can be satisfied; when it cannot, the latter always provides minimal guidance

Spurious Unanimity and the Pareto Principle


Economics and Philosophy

novembre 2016, vol. 32, n°3, pp.511-532

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

Mots clés : Pareto principle, unanimity preservation, spurious unanimity, aggregation of ex ante preferences

The Utilitarian Relevance of the Aggregation Theorem


American Economic Journal: Microeconomics

août 2016, vol. 8, n°3, pp.289-306

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

Mots clés : Utilitarianism, Aggregation Theorem, Impartial Observer Theorem, Cardinal utility, VNM utility, Harsanyi, Sen

Harsanyi (1955) invested his Aggregation Theorem and Impartial Observer Theorem with utilitarian sense, but Sen (1986) described them as "representation theorems" with little ethical import. This critical view has never been subjected to full analytical scrutiny. The formal argument we provide here supports the utilitarian relevance of the Aggregation Theorem. Following a hint made by Sen himself, we posit an exogeneous utilitarian ordering that evaluates riskless options by the sum of individual utilities, and we show that any social observer who obeys the conditions of the Aggregation Theorem evaluates social states in terms of a weighted variant of this utilitarian sum.

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, 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


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.

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

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