Dynamically consistent Choquet random walk and real investments

In the real investments literature, the investigated cash flow is assumed to follow some known stochastic process (e.g. Brownian motion) and the criterion to decide between investments is the discounted utility of their cash flows. However, for most new investments the investor may be ambiguous about the representation of uncertainty. In order to take such ambiguity into account, we refer to a discounted Choquet expected utility in our model. In such a setting some problems are to dealt with: dynamical consistency, here it is obtained in a recursive model by a weakened version of the axiom. Mimicking the Brownian motion as the limit of a random walk for the investment payoff process, we describe the latter as a binomial tree with capacities instead of exact probabilities on its branches and show what are its properties at the limit. We show that most results in the real investments literature are tractable in this enlarged setting but leave more room to ambiguity as both the mean and the variance of the underlying stochastic process are modified in our ambiguous model.

Intergenerational anonymity as an alternative to the discounted- sum criterion in the calculus of optimal growth I: Consensual optimality

The objective of this work is to try to define and calculate the optimal growth path, in the presence of exogenous technical change, without resorting to the discounted-sum criterion. The solution suggested is to consider an optimality criterion expressing an anonymous intergenerational consensus. The partial characterization of consensual optimality was made possible thanks to the decomposition of the dual of the space of sub-geometric sequences of reason p. The main finding is a relation between the marginal rate of substitution between bequest and heritage and the growth rate, relation which is a necessary condition for consensual optimality. The necessary study of the Pareto-optimality of the consensual optimum is the subject of a forthcoming paper « Intergenerational anonymity as an alternative to the discounted-sum criterion in the calculus of optimal growth II: Pareto-optimality and some economic interpretations »Intergenerational anonymity; Intergenerational equity; Optimal growth; Technical change; Time-preference; Discounted-sum criterion; Consensual criterion; OG economy

Partial Strategyproofness: Relaxing Strategyproofness for the Random Assignment Problem

We present partial strategyproofness, a new, relaxed notion of strategyproofness for studying the incentive properties of non-strategyproof assignment mechanisms. Informally, a mechanism is partially strategyproof if it makes truthful reporting a dominant strategy for those agents whose preference intensities differ sufficiently between any two objects. We demonstrate that partial strategyproofness is axiomatically motivated and yields a parametric measure for "how strategyproof" an assignment mechanism is. We apply this new concept to derive novel insights about the incentive properties of the probabilistic serial mechanism and different variants of the Boston mechanism.Comment: Working Pape

Allais-anonymity as an alternative to the discounted-sum criterion in the calculus of optimal growth I: Consensual optimality

The objective of this work is to try to define and calculate the optimal growth path, in the presence of exogenous technical change, without resorting to the discounted-sum criterion. The solution suggested is to consider an optimality criterion expressing an Allais-anonymous intergenerational consensus. The partial characterization of consensual optimality was made possible thanks to the decomposition of the dual of the space of sub-geometric sequences of reason p. The main finding is a relation between the marginal rate of substitution between bequest and heritage, and the growth rate, relation which is a necessary condition for consensual optimality. The necessary study of the Pareto-optimality of the consensual optimum is the subject of a forthcoming paper "Allais-anonymity as an alternative to the discounted-sum criterion in the calculus of optimal growth II: Pareto optimality and some economic interpretations".Intergenerational anonymity; Intergenerational equity; Optimal growth; Technical change; Time-preference; Discounted-sum criterion; Consensual criterion; OG economy

Dynamically consistent Choquet random walk and real investments

In the real investments literature, the investigated cash flow is assumed to follow some known stochastic process (e.g. Brownian motion) and the criterion to decide between investments is the discounted utility of their cash flows. However, for most new investments the investor may be ambiguous about the representation of uncertainty. In order to take such ambiguity into account, we refer to a discounted Choquet expected utility in our model. In such a setting some problems are to dealt with: dynamical consistency, here it is obtained in a recursive model by a weakened version of the axiom. Mimicking the Brownian motion as the limit of a random walk for the investment payoff process, we describe the latter as a binomial tree with capacities instead of exact probabilities on its branches and show what are its properties at the limit.  We show that most results in the real investments literature are tractable in this enlarged setting but leave more room to ambiguity as both the mean and the variance of the underlying stochastic process are modified in our ambiguous modelChoquet integrals; conditional Choquet integrals; random walk; Brownian motion; real options; optimal portfolio

The Value and Performance of U.S. Corporations

value, performance, u.s. corporations