Sanov meets Cramér again

We introduce a new method for proving large-deviation principles (LDPs). This method amounts to "mixing" a collection of LDPs with a sequence of probability measures that obeys itself an LDP. As an illustration, we construct from empirical measures a sequence of capacity-valued maps that can be considered as an indexed collection of LDPs. The index 1 coincides with Sanov's theorem. By taking a Poisson mixture we establish a new connection with Cramér's theorem.     

Estimation in the generalized Poisson model via robust testing

An estimation method is presented which compromises robust efficiency with computational feasibility in the case of the generalized Poisson model. The formal setup is built on flexible nonparametric extensions of the underlying model. The estimation efficiency is expressed via minimax properties of tests resulting from expansions of estimators. The nonparametric neighborhoods related to the proposed score function are exemplified and a real data case is analysed. The resulting method balances several qualitative features of statistical inference: strong differentiability (asymptotic derivations are more accurate), efficiency and natural model extension (quality of formal basic assumptions).     

Diversification, convex preferences and non-empty core in the Choquet expected utility model

Summary. We show, in the Choquet expected utility model, that preference for diversification, that is, convex preferences, is equivalent to a concave utility index and a convex capacity. We then introduce a weaker notion of diversification, namely “sure diversification.” We show that this implies that the core of the capacity is non-empty. The converse holds under concavity of the utility index, which is itself equivalent to the notion of comonotone diversification, that we introduce. In an Anscombe-Aumann setting, preference for diversification is equivalent to convexity of the capacity and preference for sure diversification is equivalent to non-empty core. In the expected utility model, all these notions of diversification are equivalent and are represented by the concavity of the utility index. Received: July 27, 1999; revised version: November 7, 2000     

Measuring Inequalities without Linearity in Envy: Choquet Integrals for Symmetric Capacities

The (generalized) Gini indices rely on the social welfare function of a decision maker who behaves in accordance with Yaari's model, with a function f that transforms frequencies. This SWF can also be represented as the weighted sum of the welfare of all the possible coalitions in the society, where the welfare of a coalition is defined as the income of the worst-off member of that coalition. We provide a set of axioms (Ak) and prove that the three following statements are equivalent: (i) the decision maker respects (Ak), (ii) f is a polynomial of degree k, (iii) the weight of all coalitions with more than k members is equal to zero. Journal of Economic Literature Classification Number: D63.     

A non-additive multiple criteria analysis method for evaluation of airline service quality

Subjective preferences with interactive property are often involved in the evaluation of airline service quality. It may not be possible, however, to correctly evaluate service quality using conventional additive measures. The fuzzy measure, which is a non-additive measure, is more suitable for this situation. Given the presence of arduousness in current fuzzy measure identification and in the calculation of the comprehensive performance values of alternatives in terms of the Choquet integral, this paper proposes the λ_k fuzzy measure and introduces Marichal entropy of the λ_k fuzzy measure to reach a solution. This paper also presents the aggregator Choquet integral with respect to the λ_k fuzzy measure. To verify the method's effectiveness, an application study of the comprehensive performance of 15 US airlines was conducted, using data collected over a 10-year period. Our results show that the proposed method is a suitable multi-criteria analysis method, which can be used to evaluate the performance of airline service quality when man–made interaction phenomena are not existent.     

BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS

We consider a sequence of financial markets that converges weakly in a suitable sense and maximize a behavioral preference functional in each market. For expected concave utilities, it is well known that the maximal expected utilities and the corresponding final positions converge to the corresponding quantities in the limit model. We prove similar results for nonconcave utilities and distorted expectations as employed in behavioral finance, and we illustrate by a counterexample that these results require a stronger notion of convergence of the underlying models compared to the concave utility maximization. We use the results to analyze the stability of behavioral portfolio selection problems and to provide numerically tractable methods to solve such problems in complete continuous‐time models.     

承接“二个转移”推进内蒙古优势特色产业升级的思考

近年来,以跨国公司为主导的国际资本扩大了在中国西部地区的产业转移。与此同时,中国东部地区基于降低营运成本等考虑,也加快了向中西部地区的产业转移。内蒙古面对国际、国内产业转移的良好机遇,凭借其资源优势成为热点承接地区。承接"二个转移",对于提升内蒙古优势特色产业的产业竞争力具有重要意义。内蒙古应积极优化投资环境、引导产业投向、增强产业配套能力,推进承接"二个转移",并以此带动本地区优势特色产业的优化升级。     

Distributions slanted to the right

We solve Problem 234 in Statistica Neerlandica by introducing the concept of slantedness. Distributions with a decreasing Lebesgue density are slanted to the right. This is no longer true for distributions on a lattice with decreasing density. Both kinds of distributions have positive central odd moments.     

Cost information sharing with uncertainty averse firms

Summary. A homogeneous Cournot duopoly with asymmetric information is analyzed. Every firm learns its own marginal cost parameter, but not the marginal cost parameter of the opponent. Every firm can commit to revealing its private information to the other firm, i.e. to share information. The influence of uncertainty aversion on the readiness of the duopolists to share cost information is analyzed. Uncertainty aversion is modeled according to the Choquet utility theory. It is shown that low uncertainty aversion leads the firms to share information, while high uncertainty aversion leads the firms not to share. A simple economic explanation for this result is given.Received: 5 January 2001, Revised: 7 May 2003, JEL Classification Numbers: D43, D81, D82.I wish to thank Jürgen Eichberger, Volker Krätschmer, Willy Spanjers, seminar participants at Universität des Saarlandes, seminar participants at University College London, participants in the conference of the Verein für Socialpolitik in Mainz 1999 and an anonymous referee for helpful comments. The views expressed in this paper are those of the author and do not necessarily reflect the views of the European Central Bank.     

穆勒传统经济学方法论的新进展——经济学定律的新理解

1980年代以来经济学方法论有了许多新的进展，其中最为令人注目的是，穆勒的演绎主义方法论传统有了新的发展，对经济学定律的性质又有了新的解读。在20世纪后期豪斯曼和卡特赖特可以说是穆勒传统最重要的继承者和主要诠释者。豪斯曼的最有影响力的观点是将经济学解释为一门“不精确的独立的科学”，并且提出了判别趋势律的四条标准，即近似真理性、概率的可靠性、虚拟模态特性和宽容性即“其他条件都相同”的条款。卡特赖特的最著名的观点是“权能实在论”，她再次将本性、必然性和权能（capacities）等本质主义概念引进到科学哲学和经济学方法论，她主张自然实体、经济对象都拥有权能——潜在的因果控制能力．经济学定律=“趋势律”的根源就在于此。