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Risk versus Ambiguity and International Security Design

Hill, Brian; Michalski, Tomasz - HEC Paris (École des Hautes Études Commerciales) - 2014

This paper studies portfolio allocation in the international financial market when investors exhibit ambiguity aversion … hand, increases in investor ambiguity lead to less risk-sharing. Entrepreneurs located in countries with low levels of … volatility per unit of consumption as they finance themselves relatively more through debt than equity. An increase in ambiguity …

Persistent link: https://www.econbiz.de/10011120239

Betting on Machina's reflection example: an experiment on ambiguity

L’Haridon, Olivier; Placido, Lætitia - HEC Paris (École des Hautes Études Commerciales) - 2008

confirm the need for new approaches in the analysis of ambiguity for decision making. …

Persistent link: https://www.econbiz.de/10004997496

Quantitative analysis of multi-periodic supply chain contracts with options via stochastic programming

VAN DELFT, Christian; VIAL, Jean-Philippe - HEC Paris (École des Hautes Études Commerciales) - 2001

We propose a stochastic programming approach for quantitative analysis of supply contracts, involving flexibility, between a buyer and a supplier, in a supply chain framework. Specifically, we consider the case of multi-periodic contracts in the face of correlated demands. To design such...

Persistent link: https://www.econbiz.de/10005011595

Entropy densities

ROCKINGER, Michael; JONDEAU, Eric - HEC Paris (École des Hautes Études Commerciales) - 2000

The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments...

Persistent link: https://www.econbiz.de/10005011597

Uniqueness in infinitely repeated decision problems

VIEILLE, Nicolas; WEIBULL, Jörgen W. - HEC Paris (École des Hautes Études Commerciales) - 2002

Dynamic decision-making without commitment is usually modelled as a game between the current and future selves of the decision maker. It has been observed that if the time-horizon is infinite, then such games may have multiple subgame-perfect equilibrium solutions. We provide a sufficient...

Persistent link: https://www.econbiz.de/10005106604

Le Paradoxe d'Allais: Comment lui rendre sa signification perdue? (Allais's Paradox: How to Give It Back Its Lost Meaning?)

Mongin, Philippe - HEC Paris (École des Hautes Études Commerciales) - 2013

De tous les problèmes conçus par la théorie de la décision, le paradoxe d'Allais est peut-être celui qui aura suscité l'intérêt le plus persistant. La théorie y a consacré assez de travaux techniques remarquables pour qu'il soit désormais possible à l'histoire et à la philosophie...

Persistent link: https://www.econbiz.de/10011031653

Over-Confidence and Entrepreneurial Choice Under Ambiguity

Shyti, Anisa - HEC Paris (École des Hautes Études Commerciales) - 2013

Entrepreneurship studies have attributed to over-confidence decisions to start a new venture. Many decision situations, through which over-confidence is measured, entail some degrees of uncertainty, (e.g., related to own skill or to competition). The aspect of uncertainty is largely neglected in...

Persistent link: https://www.econbiz.de/10011031656

Deferral, incomplete preferences and confidence

Hill, Brian - HEC Paris (École des Hautes Études Commerciales) - 2011

Author's abstract: A theory of when to defer a decision is proposed, according to which a decision maker defers if and only if his confidence in the relevant beliefs does not match up to the stakes involved in the decision. It uses the model of confidence in beliefs and the notion of stakes...

Persistent link: https://www.econbiz.de/10011031666

Detecting Heterogeneous Risk Attitudes with Mixed Gambles

Astebro, Thomas; Santos-Pinto, Luís - HEC Paris (École des Hautes Études Commerciales) - 2014

The authors propose a task for eliciting attitudes towards risk that is close to real world risky decisions which typically involve gains and losses. The task consists of accepting or rejecting gambles that provide a gain with probability p and a loss with probability 1 p. The authors employ...

Persistent link: https://www.econbiz.de/10011147688

Incomplete Preferences and Confidence

Hill, Brian - HEC Paris (École des Hautes Études Commerciales) - 2014

A theory of incomplete preferences under uncertainty is proposed, according to which a decision maker’s preferences are indeterminate if and only if her confidence in the relevant beliefs does not match up to the stakes involved in the decision. The author uses the model of confidence in...

Persistent link: https://www.econbiz.de/10011147698