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

Valuing future cash flows with non separable discount factors and non additive subjective measures: Conditional Choquet Capacities on Time and on Uncertainty

We consider future cash flows that are contingent both on dates in time and on uncertain states. The decision maker (DM) values the cash flows according to its decision criterion: Here the payoffs’ expectation with respect to a capacity measure. The subjective measure grasps the DM’s behaviour in front of the future, in the spirit of de Finetti’s (1930) and of Yaari’s (1987) Dual Theory in the case of risk. Decomposition of the criterion into two criteria that represent the DM’s preferences on uncertain payoffs and time contingent payoffs are derived from Ghirardato’s (1997) results. Conditional Choquet integrals are defined by dynamic consistency requirements and conditional capacities are derived, under some conditions on information. In contrast with other models referring to dynamic consistency, ours doesn’t collapse into a linear one because it violates a weak version of consequentialism.

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.

Sexual Assault Study: Overview

Poster originally presented to the Anchorage Police Department and the 2004 Alaska Summit on Violence Against Women.Anchorage Community Indicators is a public education project of the Justice Center aimed at providing information about various aspects of the Anchorage municipality through maps and tables. This issue introduces Series 2, "Sexual Assault Study," which describes the spatial patterning and geographical concentration of sexual assaults reported to the Anchorage Police Department in 2000–2001.This research was supported by Grant No. 2000-RH-CX-K039 awarded by the Bureau of Justice Statistics and by a UAA Faculty Development Grant to the first author.Rates of Forcible Rape in U.S., Alaska, and Anchorage, 1982–2001 / Demographic Characteristics of Suspects / Incident Locations (map) / Incident Locations for Native Victims (map) / Incident Locations for White Victims (map) / Victim-Suspect Relationship / Drug and Alcohol Use by Victim and Suspect / Demographic Characteristics of Victims (race; age) / Assault Locations / Incident Locations and Bar Locations (map) / Day of Assault / Hours Between Assault and Reporting To Polic

Sexual Assault Study: Differences by Community Council

Poster originally presented to the Anchorage Police Department and the 2004 Alaska Summit on Violence Against Women.This issue of Anchorage Community Indicators Series 2, "Sexual Assault Study," describes the spatial patterning and geographical concentration of sexual assaults reported to the Anchorage Police Department in 2000–2001 by the five community councils with the highest incidence of sexual assauults reported to police during the study period: Downtown, Fairview, Mountain View, Northeast, and Spenard. Comparison date is presented for these five community councils on victim and suspect characteristics including age, race, and alcohol use; assault characteristics including day of week and location of assault; and victim-suspect relationship.This research was supported by Grant No. 2000-RH-CX-K039 awarded by the Bureau of Justice Statistics and by a UAA Faculty Development Grant to the first author.Downtown (map) / Fairview (map) / Mountain View (map) / Northeast (map) / Spenard (map) / Victim characteristics (age, race, alcohol use) / Assault characteristics (weekday, location) / Victim-suspect relationship (stranger v. non-stranger; type of non-stranger relationship) / Suspect characteristics (age, race, alcohol use

Attitude toward information and learning under multiple priors

This paper studies learning under multiple priors by characterizing the decision maker's attitude toward information. She is incredulous if she integrates new information with respect to only those measures that minimizes the likelihood of the new information and credulous if she uses the maximum likelihood procedure to update her priors. Both updating rules expose her to dynamic inconsistency. We explore different ways to resolve this problem. One way consists to assume that the decision maker's attitude toward information is not relevant to characterize conditional preferences. In this case, we show that a necessary and sufficient condition, introduced by [Epstein L. and Schneider M., 2003. Recursive multiple priors. Journal of Economic Theory 113, 1-31], is the rectangularity of the set of priors. Another way is to extend optimism or pessimism to a dynamic set-up. A pessimistic (max-min expected utility) decision maker will be credulous when learning bad news but incredulous when learning good news.Conversely, an optimistic (max-max expected utility) decision maker will be credulous when learning good news but incredulous when learning bad news. It allows max-min (or max-max) expected utility preferences to be dynamically consistent but it violates consequentialism because conditioning works with respect to counterfactual outcomes. The implications of our findings when the set of priors is the core of a non-additive measure are explored.Multiple priors ; Learning ; Dynamic consistency ; Consequentialism ; Attitude toward information

The role of executive control in resolving grammatical number conflict in sentence comprehension

In sentences with a complex subject noun phrase, like “The key to the cabinets is lost”, the grammatical number of the head noun (key) may be the same or different from the modifier noun phrase (cabinets). When the number is the same, comprehension is usually easier than when it is different. Grammatical number computation may occur while processing the modifier noun (integration phase) or while processing the verb (checking phase). We investigated at which phase number conflict and plausibility of the modifier noun as subject for the verb affect processing, and we imposed a gaze-contingent tone discrimination task in either phase to test whether number computation involves executive control. At both phases, gaze durations were longer when a concurrent tone task was present. Additionally, at the integration phase, gaze durations were longer under number conflict, and this effect was enhanced by the presence of a tone task, whereas no effects of plausibility of the modifier were observed. The finding that the effect of number match was larger under load shows that computation of the grammatical number of the complex noun phrase requires executive control in the integration phase, but not in the checking phase