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Contracting for innovation under knightian uncertainty
AMARANTE, Massimiliano; GHOSSOUB, Mario; PHELPS, Edmund - Département de Sciences Économiques, Université de … - 2012
probabilities on the new states. The agents in the economy are classified with respect to their attitude towards this Ambiguity: the … financiers are (locally) Ambiguity-seeking while the consumers are Ambiguity-averse. An entrepreneur and a financier come together … contracting problem does not fall within the standard theory due to the presence of Ambiguity (on the financier’s side) and to the …
Persistent link: https://www.econbiz.de/10010933661
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What is Ambiguity?
AMARANTE, Massimiliano - Centre Interuniversitaire de Recherche en Économie … - 2014
The concept of Ambiguity designates those situations where the information available to the decision maker is …-expected utility models hanging on a shaky ground. In particular, it leaves unanswered basic questions such as: (1) Does Ambiguity … Utility (SEU) in the presence of Ambiguity?, and (4) If so, what kind of behavior should emerge in the presence of Ambiguity …
Persistent link: https://www.econbiz.de/10010927917
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Contracting for Innovation under Knightian Uncertainty
Amarante, Massimiliano; Ghossoub, Mario; Phelps, Edmund - Centre Interuniversitaire de Recherche en Économie … - 2012
probabilities on the new states. The agents in the economy are classified with respect to their attitude towards this Ambiguity: the … financiers are (locally) Ambiguity-seeking while the consumers are Ambiguity-averse. An entrepreneur and a financier come … contracting problem does not fall within the standard theory due to the presence of Ambiguity (on the financier’s side) and to the …
Persistent link: https://www.econbiz.de/10010616508
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What is ambiguity?
AMARANTE, Massimiliano - Département de Sciences Économiques, Université de … - 2014
The concept of Ambiguity designates those situations where the information available to the decision maker is …-expected utility models hanging on a shaky ground. In particular, it leaves unanswered basic questions such as: (1) Does Ambiguity … Utility (SEU) in the presence of Ambiguity?; and (4) If so, what kind of behavior should emerge in the presence of Ambiguity …
Persistent link: https://www.econbiz.de/10011186226
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Expected Utility without Full Transitivity
BOSSERT, Walter; SUZUMURA, Kotaro - Centre Interuniversitaire de Recherche en Économie … - 2014
We generalize the classical expected-utility criterion by weakening transitivity to Suzumura consistency. In the absence of full transitivity, reflexivity and completeness no longer follow as a consequence of the system of axioms employed and a richer class of rankings of probability...
Persistent link: https://www.econbiz.de/10010883523
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Revealed Preference and Choice under Uncertainty
BOSSERT, Walter; SUZUMURA, Kotaro - Département de Sciences Économiques, Université de … - 2010
We employ the theory of rational choice to examine whether observable choices from feasible sets of prospects can be generated by the optimization of some underlying decision criterion under uncertainty. Rather than focusing on a specific theory of choice, our objective is to formulate a general...
Persistent link: https://www.econbiz.de/10010933662
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Conditional Expected Utility
AMARANTE, Massimiliano - Département de Sciences Économiques, Université de … - 2013
Let 'epsilon' be a class of event. Conditionally Expected Utility decision makers are decision makers whose conditional preferences ≿E, E є 'epsilon', satisfy the axioms of Subjective Expected Utility theory (SEU). We extend the notion of unconditional preference that is conditionally EU to...
Persistent link: https://www.econbiz.de/10010933682
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Innovation and Information Acquisition Under Time Inconsistency and Uncertainty
Chemarin, Sophie; Orset, Caroline - Centre Interuniversitaire sur le Risque, les Politiques … - 2008
We propose to analyse the hyperbolic discounting preferences effect on the innovator's research investment decision. Investing in research allows him to acquire information, and then to reduce the uncertainty of the risks of his project. We find that whatever the innovator's preferences, that is...
Persistent link: https://www.econbiz.de/10005015222
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On Debt Service and Renegotiation when Debt-holders Are More Strategic
Bourgeon, Jean-Marc; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
The contingent claims analysis of the firm financing often presents a debt renegotiation game with a passive bank which does not use strategically its capability to force liquidation, contrary towhat is observed in practice. The first purpose of this paper is to introduce more strategic bank...
Persistent link: https://www.econbiz.de/10005015284
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Robust Equilibrium Yield Curves
Kleshchelski, Isaac; Vincent, Nicolas - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
This paper studies the quantitative implications of the interaction between robust control and stochastic volatility for key asset pricing phenomena. We present an equilibrium term structure model in which output growth is conditionally heteroskedastic. The agent does not know the true model of...
Persistent link: https://www.econbiz.de/10005015305