Rationalizing investors’ choices

Assuming that agents’ preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an expected utility maximizer with an explicitly derived concave non-decreasing utility function. This result enables us to infer the utility and risk aversion of agents from their investment choice in a non-parametric way. We relate the property of decreasing absolute risk aversion (DARA) to distributional properties of the terminal wealth and of the financial market. Specifically, we show that DARA is equivalent to a demand for a terminal wealth that has more spread than the opposite of the log pricing kernel at the investment horizon.     

TIME TO MARKET AND IMPATIENT CUSTOMERS

We analyse the decision of firms about when to launch their products on the market when they produce differentiated goods and compete on prices. We find two subgame perfect equilibria: one in which the high‐quality firm holds its leadership in quality, and another in which the low‐quality firm leapfrogs its rival. When the initial level of differentiation is high enough, the low‐quality firm always launches first. Finally, we extend this model to analyse commercial piracy. We obtain that pirates are highly unlikely to launch the illegal copy first because they would bear a higher penalty and a higher risk of being detected.     

Equilibrium selection in bargaining models

This paper examines evolutionary equilibrium selection in bargaining models. We show that random best-response and continuous best-response learning dynamics give rise to (different) simple sufficient conditions for identifying outcomes as stochastically stable. This allows us to characterize the implications of these dynamics in simple bargaining games.     

Who is ruling Europe? Empirical evidence on the German Dominance Hypothesis

The aim of this paper is to analyze the hypothesis of German dominance in the European Monetary System (EMS). For this purpose, we use monthly interest rates for nine European countries from January 1979 to the second half of 1997. In particular, we test the stability of the implied long-run relationships to assess whether there has been a significant change in the EMS performance. The econometric methodology is based on Johansen's maximum likelihood procedure and several tests for parameter instability. The most important finding is that, although Germany has a significant influence on the monetary policy of the other European countries, it is not possible to accept the existence of dominance. First version received: May 1999/Final version received: November 2000     

The Neglected Institutionalism of Wesley Clair Mitchell: The Theoretical Basis for Business Cycle Indicators

Addressing the question why Economics as a discipline is not subject to evolutive processes itself, we explain the paradigmatical dominance of neoclassical theories in Economics as a path dependent process. Recognizing economics as "locked into neoclassical thinking," we first identify three positive feedback mechanisms leading to strong barriers to paradigmatic change: coordination, complementarity, and learning mechanisms. In a second step, we show how actors strategically enforce these mechanisms via distinct "amplifiers." We then try to use this theoretical perspective to cursorily describe potentially path-breaking strategies.     

不完备决策系统中发现偏好概率规则的粗糙集方法

为了从有偏好信息但信息不完全的多属性决策系统中获取概率决策规则,提出一种新的不完全信息的多属性粗糙决策分析方法。首先,提出扩展优势关系下相容度的概念;其次,基于相容度给出知识的粗糙近似,并证明了粗糙近似的基本性质;再次,给出粗糙近似的分类质量与β-约简的概念,并从不完全信息的偏好决策系统中导出概率决策规则;最后,通过一个实例说明新方法的可行性和有效性。     

Equilibrium selection through incomplete information in coordination games: an experimental study

We perform an experiment on a pure coordination game with uncertainty about the payoffs. Our game is closely related to models that have been used in many macroeconomic and financial applications to solve problems of equilibrium indeterminacy. In our experiment, each subject receives a noisy signal about the true payoffs. This game (inspired by the “global” games of Carlsson and van Damme, Econometrica, 61, 989–1018, 1993) has a unique strategy profile that survives the iterative deletion of strictly dominated strategies (thus a unique Nash equilibrium). The equilibrium outcome coincides, on average, with the risk-dominant equilibrium outcome of the underlying coordination game. In the baseline game, the behavior of the subjects converges to the theoretical prediction after enough experience has been gained. The data (and the comments) suggest that this behavior can be explained by learning. To test this hypothesis, we use a different game with incomplete information, related to a complete information game where learning and prior experiments suggest a different behavior. Indeed, in the second treatment, the behavior did not converge to equilibrium within 50 periods in some of the sessions. We also run both games under complete information. The results are sufficiently similar between complete and incomplete information to suggest that risk-dominance is also an important part of the explanation.      

Second‐Order Discrimination and Generalized Lorenz Dominance

We propose a definition of second‐order discrimination that does not require the reference distribution to first‐order dominate the comparison one, and allows rankings of discrimination patterns when both the reference and the comparison distributions differ. It involves comparing the probabilities that randomly selected individuals in the reference and comparison distributions belong to subgroups having the same cumulative mean income, yields orderings of distributions equivalent to those from generalized Lorenz dominance, and allows orderings of discrimination patterns, partial or complete, across pairs of distributions. We compare discrimination against U.S. seniors (inter‐distributional inequality between seniors and non‐seniors) by ethnicity.     

Diversification versus optimality: is there really a diversification puzzle?

In this paper, we provide a general valuation of the diversification attitude of investors. First, we empirically examine the diversification of mean-variance optimal choices in the US stock market during the 11-year period 2003–2013. We then analyze the diversification problem from the perspective of risk-averse investors and risk-seeking investors. Second, we prove that investors’ optimal choices will be similar if their utility functions are not too distant, independent of their tolerance (or aversion) to risk. Finally, we discuss investors’ attitude towards diversification when the choices available to investors depend on several parameters.     

风险变动对个人保险需求的影响——基于期望效用与均值-均方差的分析

风险是保险需求存在的前提,风险的变动会引起保险需求的变动.在期望效用(EU)框架下,根据不确定性的一些研究结论推知,风险增加将引起保险需求增加;在均值-均方差方法下,Battermann等人推导了风险增加、风险厌恶弹性和保险需求三者之间的关系,Thomas Eichner和Andreas Wagener证明,在风险分布之间具有线性关系的条件下,Battermann等人的结论在EU方法中也成立.笔者证明,只要随机变量的分布具有二阶占优,则该方法可以完全替代EU方法,从而Battermann等人的结论可以推广到分布族不同的风险决策中.