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1.
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in an expected
prospect maximization problem. For what we call the infimum of expectations class of risk measures, we show that if the decision
maker (DM) maximizes the expectation of a random prospect under constraint that the risk measure is bounded above, he then
behaves as a “generalized expected utility maximizer” in the following sense. The DM exhibits ambiguity with respect to a
family of utility functions defined on a larger set of decisions than the original one; he adopts pessimism and performs first
a minimization of expected utility over this family, then performs a maximization over a new decisions set. This economic
behaviour is called “maxmin under risk” and studied by Maccheroni (Econ Theory 19:823–831, 2002). As an application, we make the link between an expected prospect maximization problem, subject to conditional value-at-risk
being less than a threshold value, and a non-expected utility economic formulation involving “loss aversion”-type utility
functions. 相似文献
2.
Xiao Luo 《Theory and Decision》2006,60(4):395-402
Within Luo’s (2001, J. Math. Econ. 36, 95–109) framework of a general system, I establish an equivalence theorem for the conservative
stable standard of behavior (CSSB for short) developed by J. Greenberg (“The Theory of Social Situation: An Alternative Game-Theoretic
Approach,” Cambridge University Press, 1990). It is shown that a standard of behavior for a situation is a CSSB if, and only
if, its graph is a φ-stable set for the associated general system. 相似文献
3.
Thomas W. L. Norman 《Theory and Decision》2010,69(2):167-182
Mixed-strategy equilibria are typically rather unstable in evolutionary game theory. “Monocyclic” games, such as Rock–Paper–Scissors,
have only mixed equilibria, some of which are “stable” in the sense that sequential best replies lead to them; yet, even these
games are prone to stable cycles under discrete-time simultaneous best replies, giving an unusual equilibrium-selection problem.
This article analyzes such games in a random-utility setting where changing strategies is costly, and the speed of the dynamic
is, thus, endogenous. The stochastically stable outcome is determined by the cost of switching strategies; when switching
costs are high, mixed equilibria are selected, whereas when switching costs are low, cycles are selected. 相似文献
4.
David Johnstone 《Theory and Decision》2007,62(1):47-96
Simulation evidence obtained within a Bayesian model of price-setting in a betting market, where anonymous gamblers queue
to bet against a risk-neutral bookmaker, suggests that a gambler who wants to maximize future profits should trade on the
advice of the analyst cum probability forecaster who records the best probability score, rather than the highest trading profits, during the preceding
observation period. In general, probability scoring rules, specifically the log score and better known “Brier” (quadratic)
score, are found to have higher probability of ranking rival analysts in predetermined “correct” order than either (i) the
more usual method of counting categorical forecast errors (misclassifications), or (ii) an economic measure of forecasting
success, described here as the “Kelly score” and defined as the trading profits accumulated by making log optimal bets (i.e.
Kelly betting) against the market maker based on the probability forecasts of the analyst being assessed. This runs counter
to the conventional wisdom that financial forecasts are more aptly evaluated in terms of their financial consequences than
by an abstract non-monetary measure of statistical accuracy such as the number of misclassifications or a probability score.
相似文献
5.
The Sleeping Beauty problem is presented in a formalized framework which summarizes the underlying probability structure.
The two rival solutions proposed by Elga (Analysis 60:143–147, 2000) and Lewis (Analysis 61:171–176, 2001) differ by a single
parameter concerning her prior probability. They can be supported by considering, respectively, that Sleeping Beauty is “fuzzy-minded”
and “blank-minded”, the first interpretation being more natural than the second. The traditional absent-minded driver problem
is reinterpreted in this framework and sustains Elga’s solution. 相似文献
6.
Ranking finite subsets of a given set X of elements is the formal object of analysis in this article. This problem has found a wide range of economic interpretations
in the literature. The focus of the article is on the family of rankings that are additively representable. Existing characterizations
are too complex and hard to grasp in decisional contexts. Furthermore, Fishburn (1996), Journal of Mathematical Psychology
40, 64–77 showed that the number of sufficient and necessary conditions that are needed to characterize such a family has
no upper bound as the cardinality of X increases. In turn, this article proposes a way to overcome these difficulties and allows for the characterization of a meaningful
(sub)family of additively representable rankings of sets by means of a few simple axioms. Pattanaik and Xu’s (1990), Recherches
Economiques de Louvain 56, 383–390) characterization of the cardinality-based rule will be derived from our main result, and other new rules that stem from our general proposal are discussed and characterized
in even simpler terms. In particular, we analyze restricted-cardinality based rules, where the set of “focal” elements is
not given ex-ante; but brought out by the axioms.
相似文献
7.
Jan Heufer 《Theory and Decision》2011,71(4):575-592
This article explores rationalizability issues for finite sets of observations of stochastic choice in the framework introduced
by Bandyopadhyay et al. (Journal of Economic Theory, 84(1), 95–110, 1999). It is argued that a useful approach is to consider indirect preferences on budgets instead of direct preferences on commodity
bundles. A new rationalizability condition for stochastic choices, “rationalizable in terms of stochastic orderings on the
normalized price space” (rsop), is defined. rsop is satisfied if and only if there exists a solution to a linear feasibility problem. The existence of a solution also implies
rationalizability in terms of stochastic orderings on the commodity space. Furthermore it is shown that the problem of finding
sufficiency conditions for binary choice probabilities to be rationalizable bears similarities to the problem considered here. 相似文献
8.
Doron Sonsino 《Theory and Decision》2011,71(2):235-250
An “unprocessed risk” is a collection of simple lotteries with a reduction-rule that describes the actual-payoff to the decision-maker
as a function of realized lottery outcomes. Experiments reveal that the willingness to pay for unprocessed risks is consistently
biased toward the payoff-level in the unprocessed representation. The “anchoring-to-frame” bias in cases of positive framing
is significantly weaker than in cases of negative framing suggesting that rational “negativity bias” may reflect in asymmetric
violations of rationality. 相似文献
9.
We define an evolutionary process of “economic Darwinism” for playing the field, symmetric games. The process captures two
forces. One is “economic selection”: if current behavior leads to payoff differences, behavior yielding lowest payoff has
strictly positive probability of being replaced by an arbitrary behavior. The other is “mutation”: any behavior has at any
point in time a strictly positive, very small probability of shifting to an arbitrary behavior. We show that behavior observed
frequently is in accordance with “evolutionary equilibrium”, a static equilibrium concept suggested in the literature. Using
this result, we demonstrate that generally under positive (negative) externalities, economic Darwinism implies even more under-
(over-)activity than does Nash equilibrium. 相似文献
10.
We set out to find ways to help decision makers overcome the “winner’s curse,” a phenomenon commonly observed in asymmetric
information bargaining situations, and instead found strong support for its robustness. In a series of manipulations of the
“Acquiring a Company Task,” we tried to enhance decision makers’ cognitive understanding of the task. We did so by presenting
them with different parameters of the task, having them compare and contrast these different parameters, giving them full
feedback on their history of choices and resulting outcomes, and allowing them to interact with a human opponent instead of
a computer program. Much to our surprise, none of these manipulations led to a better understanding of the task. Our results
demonstrate and emphasize the robustness of the winner’s curse phenomenon.
相似文献
11.
Nicolas Houy 《Theory and Decision》2011,70(4):501-509
We give some characterizations for both the untrapped set and the top cycle choice functions. We link these characterizations
with the well-known characterization of the maximal elements choice function. Our characterizations strongly rely on the notion
of “two-tier domination”. 相似文献
12.
Vicki Knoblauch 《Theory and Decision》2006,60(1):1-16
Two forms of continuity are defined for Pareto representations of preferences. They are designated “continuity” and “coordinate
continuity.” Characterizations are given of those Pareto representable preferences that are continuously representable and,
in dimension two, of those that are coordinate-continuously representable. 相似文献
13.
In a multilateral bargaining game where a proposer and responders can set up a “principal–agent” relationship by means of
binding cash-offer contracts, we show that there is a Markov SPE with a delay in reaching an agreement. We also show that
all the individually rational and efficient payoffs can be supported by SPE.
相似文献
14.
We study political influence in institutions where each member chooses a level of support for a collective goal. These individual
choices determine the degree to which the goal is reached. Influence is assessed by newly defined binary relations, each of
which ranks members on the basis of their relative performance at a corresponding level of participation. For institutions
with three options (e.g., voting games in which each voter may vote “yes”, “abstain”, or vote “no”), we obtain three influence
relations, and show that their strict components may be cyclic. This latter property describes a “paradox of power” which
contrasts with the transitivity of the unique influence relation of binary voting games. Weak conditions of anonymity suffice
for each of these relations to be transitive. We also obtain a necessary and sufficient condition for each of these relations
to be complete. Further, we characterize institutions in which the rankings induced by these relations, and the Banzhaf–Coleman
and Shapley–Shubik power indices coincide. We argue that extending the influence relations to firms would be useful in efficiently
assigning workers to different units of production. Finally, we provide applications to various forms of political and economic
organizations. 相似文献
15.
Turn taking is observed in many field and laboratory settings captured by various widely studied 2 × 2 games. This article
develops a repeated game model that allows us to systematically investigate turn-taking behavior in many 2 × 2 games, including
the battle of the sexes, the game of chicken, the game of common-pool-resources assignment, and a particular version of the
prisoners’ dilemma. We consider the “turn taking with independent randomizations” (TTIR) strategy that achieves three objectives:
(a) helping the players reach the turn-taking path, (b) resolving the question of who takes the good turn first, and (c) deterring
defection. We determine conditions under which there exists a unique TTIR strategy profile that can be supported as a subgame-perfect
equilibrium. We also show that there exist conditions under which an increase in the “degree of conflict” of the stage game
leads to a decrease in the expected number of periods in reaching the turn-taking path. 相似文献
16.
Previous experimental and observational work suggests that people act more generously when they are observed and observe others
in social settings. However, the explanation for this is unclear. An individual may want to send a signal of her generosity
to improve her own reputation. Alternately (or additionally) she may value the public good or charity itself and, believing
that contribution levels are strategic complements, give more to influence others to give more. We perform the first series
of laboratory experiments that can separately estimate the impact of these two social effects, and test whether realized influence
is consistent with the desire to influence, and whether either of these are consistent with anticipated influence. Our experimental
subjects were given the opportunity to contribute from their endowment to Bread for the World, a development NGO. Depending
on treatment, “leader” subjects’ donations were reported to other subjects either anonymously or with their identities, and
these were reported either before these “follower” subjects made their donation decisions. We find that “leaders” are influential
only when their identities are revealed along with their donations, and female leaders are more influential than males. Identified
leaders’ predictions suggest that are aware of their influence. They respond to this by giving more than either the control
group or the unidentified leaders. We find mixed evidence for “reputation-seeking.” 相似文献
17.
The value of improved road safety 总被引:2,自引:0,他引:2
Lars Hultkrantz Gunnar Lindberg Camilla Andersson 《Journal of Risk and Uncertainty》2006,32(2):151-170
We report the results of a contingent valuation study for finding a conservative estimate of the value-of-statistical-life
in an urban road safety context in Sweden. We estimate the value of both a private-good device and a public-good safety program.
The reduction of risk is communicated with a “community analogy” representation of the “Vision Zero” target of the national
traffic-safety policy. According to this target, the road-traffic system should be designed so as to prevent accidents when
they happen to lead to fatalities or severe injuries. We use the “certainty approach” for ex-post correction of results to
remove or mitigate hypothetical bias of responses. As expected we find insensitivity of responses in the full sample to the
size of the risk reduction being valued. By our approach we can compute a conservative estimate, based on answers from fully
confident respondents, of the value of the largest possible safety enhancement (i.e. fulfilment of the “Vision Zero”). This
lower bound estimate indicates a higher average willingness-to-pay for public safety-improving measures than currently assumed
in benefit-cost assessments. We also find that the willingness to pay is considerably lower within a public-good than a private-good
framework and a weak indication of sensitivity to scale among the most confident respondents.
JEL Codes H43 · I18 · Q51 相似文献
18.
A symmetric network consists of a set of positions and a set of bilateral links between these positions. For every symmetric
network we define a cooperative transferable utility game that measures the “power” of each coalition of positions in the
network. Applying the Shapley value to this game yields a network power measure, the β-measure, which reflects the power of
the individual positions in the network. Applying this power distribution method iteratively yields a limit distribution,
which turns out to be proportional to the well-known degree measure. We compare the β-measure and degree measure by providing
characterizations, which differ only in the normalization that is used.
相似文献
19.
Sebastian Maaß 《Theory and Decision》2006,60(2-3):175-191
In this paper, non-additivity of a set function is interpreted as a method to express relations between sets which are not
modeled in a set theoretic way. Drawing upon a concept called “quasi-analysis” of the philosopher Rudolf Carnap, we introduce
a transform for sets, functions, and set functions to formalize this idea. Any image-set under this transform can be interpreted
as a class of (quasi-)components or (quasi-)properties representing the original set. We show that non-additive set functions
can be represented as signed σ-additive measures defined on sets of quasi-components. We then use this interpretation to justify
the use of non-additive set functions in various applications like for instance multi criteria decision making and cooperative
game theory. Additionally, we show exemplarily by means of independence, conditioning, and products how concepts from classical
measure and probability theory can be transfered to the non-additive theory via the transform. 相似文献
20.
We deal with the ranking problem of the nodes in a directed graph. The bilateral relationships specified by a directed graph
may reflect the outcomes of a sport competition, the mutual reference structure between websites, or a group preference structure
over alternatives. We introduce a class of scoring methods for directed graphs, indexed by a single nonnegative parameter
α. This parameter reflects the internal slackening of a node within an underlying iterative process. The class of so-called
internal slackening scoring methods, denoted by λ
α
, consists of the limits of these processes. It is seen that λ0 extends the invariant scoring method, while λ
∞
extends the fair bets scoring method. Method λ1 corresponds with the existing λ-scoring method of Borm et al. (Ann Oper Res 109(1):61–75, 2002) and can be seen as a compromise between λ0 and λ
∞
. In particular, an explicit proportionality relation between λ
α
and λ1 is derived. Moreover, the internal slackening scoring methods are applied to the setting of social choice situations where
they give rise to a class of social choice correspondences that refine both the Top cycle correspondence and the Uncovered
set correspondence. 相似文献