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No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity.

Dana, Rose-Anne; Van, Cuong Le - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

some prior. It is shown that the more uncertainty averse and the more risk averse, the more likely are efficient …

Persistent link: https://www.econbiz.de/10005696750

Subjective beliefs formation and elicitation rules : experimental evidence.

Hollard, Guillaume; Massoni, Sébastien; Vergnaud, … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

Since they have been increasingly used in economics, elicitation rules for subjective beliefs are under scrutiny. In this paper, we propose an experimental design to compare the performance of such rules. Contrary to previous works in which elicited beliefs are compared to an objective...

Persistent link: https://www.econbiz.de/10008727364

Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures.

Dana, Rose-Anne; Van, Cuong Le - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria when short-selling is allowed and investors hold a single belief about future returns, is reconsidered. Investors use measures...

Persistent link: https://www.econbiz.de/10005510595

Cardinal extensions of EU model based on the Choquet integral.

Chateauneuf, Alain; Cohen, Michèle - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

, which allow to take into account observed behaviors as in Allais' paradox under risk or Ellsberg's paradox under uncertainty … uncertainty, and Quiggin and Yaari under risk, succeeded to characterize preferences which generalize the EU model, by means of a … for more diversified patterns of behavior under uncertainty as well under risk. …

Persistent link: https://www.econbiz.de/10004988950

Decision under uncertainty : the classical models.

Chateauneuf, Alain; Cohen, Michèle; Jaffray, Jean-Yves - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

This chapiter of a collective book is dedicated to classical decision models under uncertainty, i.e. under situations …

Persistent link: https://www.econbiz.de/10004988960

Privileged information exacerbates market volatility.

Desgranges, Gabriel; Gauthier, Stéphane - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by forecasts about this same outcome. The unique rational expectations equilibrium will be stable when it is the only rationalizable solution. It has been established in the literature...

Persistent link: https://www.econbiz.de/10009359817

The rationality of expectations formation and excess volatility.

Dávila, Julio - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

I establish, in simple deterministic overlapping generations economies, that if each agent holds rationally formed expectations in the sense that any other expectations justifying his choices imply a smaller likelihood for the history he observes with limited memory, then there are rationally...

Persistent link: https://www.econbiz.de/10005696754

The taxation of savings in overlapping generations economies with unbacked risky assets.

Davila, Julio - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

This paper establishes, in the context of the Diamond (1965) overlapping generations economy with production, that the risk that savings in unbacked assets (like fiat money or public debt) become worthless implies that, not only the first-best steady state, but even the best steady state...

Persistent link: https://www.econbiz.de/10008622044

Production factor returns: the role of factor utilisation.

Cette, Gilbert; Dromel, Nicolas; Lecat, Rémy; Paret, … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

Short-term increasing returns to production factors are usually found in empirical studies. We argue they can be due to omitted variables, particularly the intensity of factor utilisation. Thanks to original French firm-level data (1992-2008), we show how increasing returns to scale disappear...

Persistent link: https://www.econbiz.de/10009024937

The taxation of capital returns in overlapping generations economies without financial assets.

Davila, Julio - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

I show in this paper that in an overlapping generations economy with production à la Diamond (1970) in which the agents can only save in terms of capital (i.e. with not asset bubbles à la Tirole (1985) or public debt as in Diamond (1965)), there is a period-by-period balanced fiscal policy...

Persistent link: https://www.econbiz.de/10004988952