Deux conférences sur la théorie des probabilités

Abstract

Dans les pages suivantes, nous nous occuperons de quelques questions qui concernent Ie problème général de l'addition des variables éatoires independantes.     

On the existence of expected multi-utility representations

We prove the following facts related to the expected multi-utility representation of an affine preorder: If the prize space is not compact and if the lottery set consists of all probabilities on the prize space, standard independence and continuity axioms do not guarantee the existence of a (continuous) representation. If the prize space is σ-compact and lotteries have compact support, a representation exists. When the preorder in question is bounded, this result extends to the set of lotteries that consists of all probabilities on the prize space. For the case of monetary lotteries, the boundedness assumption in this last result can be dropped, provided that the preference relation at hand is monotone and risk-averse.     

The Austrian Theory of Institutions Applied to Science-Industry Relationships: The Relevance of Innovative Institutions

This contribution aims at using an Austrian approach of institutions to discuss specific institutional arrangements in the current working of science-industry relationships. By combining distinctive characteristics between Menger's and Hayek's research programs, we establish a typology of institutions that goes beyond the usual way to approach business institutions and allows us to identify transitory types of institutional arrangements called rc="/content/v67126n5w1v0r51u/xxlarge8220.gif" alt="ldquo" align="MIDDLE" BORDER="0">innovative institutionsrc="/content/v67126n5w1v0r51u/xxlarge8221.gif" alt="rdquo" align="MIDDLE" BORDER="0">. We apply that Austrian approach of institutions and address its relevance to highlight some puzzling issues derived from empirical evidence. Then, innovative institutions reveal particularly suited to understand how public and private research work together in science-industry relationships.     

Growth, distance to frontier and composition of human capital

We examine the contribution of human capital to economy-wide technological improvements through the two channels of innovation and imitation. We develop a theoretical model showing that skilled labor has a higher growth-enhancing effect closer to the technological frontier under the reasonable assumption that innovation is a relatively more skill-intensive activity than imitation. Also, we provide evidence in favor of this prediction using a panel dataset covering 19 OECD countries between 1960 and 2000 and explain why previous empirical research had found no positive relationship between initial schooling level and subsequent growth in rich countries.     

Applications of Malliavin calculus to Monte Carlo methods in finance

This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the {\it integration-by-parts} formula, which lies at the core of the theory of variational stochastic calculus, as developed in the Malliavin calculus. The Greeks formulae, both with respect to initial conditions and for smooth perturbations of the local volatility, are provided for general discontinuous path-dependent payoff functionals of multidimensional diffusion processes. We illustrate the results by applying the formula to exotic European options in the framework of the Black and Scholes model. Our method is compared to the Monte Carlo finite difference approach and turns out to be very efficient in the case of discontinuous payoff functionals. Manuscript received: July 1997; final version received: September 1998     

Ganz Westeuropa auf dem Weg in die „Basarökonomie“?

Für einige Ökonomen basiert der Exporterfolg der deutschen Wirtschaft in den letzten Jahren auf Exportgütern, die überwiegend aus importierten Vorprodukten zusammengesetzt worden sind. Wie hat sich der Importgehalt der deutschen Exporte entwickelt? Ist ein sinkender inländischer Wertschöpfungsanteil der Exporte zu beobachten? Wie ist die Entwicklung in anderen EU-Ländern?     

Incorporating Judgement in Fan Charts

Within a decision-making group, such as a central bank's monetary-policy committee, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent's judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system and, accordingly, a particular predictive density—or fan chart —associated with it. A weighted linear combination of the predictive densities yields a final predictive density that reflects the uncertainty perceived by the agents generating the forecast.     

The end of neoliberal history—the future of economics

The future of economics needs discussion both negatively, as the denial of neoliberal perspective, and positively as a science that is able to handle the historic welfare-freedom-culture paradox. The authors state that this alternative is political economy, which they define as a science searching for materialisation of social visions in the economic sphere. This tradition dates back to ancient cultures and does not coincide with the present usage of political economy. The article discusses the political economy of the information age and beyond. The core idea is that the human alternative of ongoing technological changes executes long run visions of mankind: co-existence of freedom and welfare under cultural leadership in a global scale.