Lapied

Publications

Modelling under ambiguity with two correlated Choquet-Brownian motionsJournal articleDavid Roubaud, André Lapied and Robert Kast, Economics Bulletin, Volume 37, Issue 2, pp. 1012-1020, 2017

Modelling under ambiguity in financial and economic models implies a sound characterisation of ambiguity sources. We expand the seminal work of Kast et al. (2014) who first defined Choquet Random Walks (CRW) and Choquet-Brownian Motions (CBM). Their work allows modelling in the presence of a single source of ambiguity and is used in various contexts, such as investment decisions and portfolio choices. As it is often useful (or even imperative) to introduce multiple sources of ambiguity, we expand the Choquet Brownian model for two correlated sources of ambiguity. Using properties of correlation, we first establish key results for correlated dynamically coherent Choquet Random Walks. We extend it to continuous-time for two correlated sources of ambiguity, each represented by a Choquet-Brownian Motion. Thus, we demonstrate that CBM are sufficiently tractable to adapt to more complex model settings, in the presence of uncertainty represented through two correlated sources of ambiguity. We apply our theoretical model to the optimal portfolio choice of traded assets.

Modèles de décision intertemporels et temps subjectivement perçuJournal articleAndré Lapied and Olivier Renault, Œconomia. History, Methodology, Philosophy, Issue 7-2, pp. 201-217, 2017

Dans la plupart des disciplines, la nature du temps a suscité d’âpres débats entre les tenants d’un temps linéaire objectivé et les partisans d’un temps subjectivement perçu par les individus. De manière surprenante, l’économie est une des rares disciplines où la nature du temps n’a guère éveillé l’intérêt des chercheurs. Cela s’explique par l’omniprésence d’une hypothèse implicite que nous appelons « temps linéaire ». Cette hypothèse est, selon nous, source de blocages dans le développement de la théorie de la décision. Elle empêche d’une part de conférer à l’actualisation une base comportementale solide et restreint, d’autre part, la rationalité, incarnée par la cohérence temporelle, à l’actualisation exponentielle. Nous montrons que l’introduction d’un temps subjectivement perçu par les agents économiques, par l’intermédiaire d’un concept appelé « distance temporelle », permet de lever ces deux blocages et offre une interprétation nouvelle à un ensemble de situations de choix intertemporels., In most disciplines, the nature of time has been the cause of harsh debates between the partisans of objective linear time and those in favor of subjective time. In a surprising way, the nature of time has not much stimulated the interest of economists. This can be explained by the invariable use of a tacit assumption that we call “linear time”. According to us, “linear time” brings about a set of misunderstandings in the field of decision theory. First, “linear time” impedes the development of solid behavioral foundations for time discounting. Second, “linear time” leads to the common agreement that only exponential decision makers are time consistent. In this paper, we aim at removing such a misunderstanding by introducing subjective time. In particular, we substitute “linear time” by a more general assumption called “time distance”.

Employee ownership: A theoretical and empirical investigation of management entrenchment vs. reward managementJournal articleNicolas Aubert, Guillaume Garnotel, André Lapied and Patrick Rousseau, Economic Modelling, Volume 40, Issue C, pp. 423-434, 2014

Employee ownership is often used not only as a reward management tool but also as an entrenchment mechanism. The literature suggests that good managers use employee ownership as a reward management tool, whereas bad managers implement it for entrenchment, thus suggesting the existence of an equilibrium level of employee ownership. The contributions of this paper are both theoretical and empirical. Theoretically, this paper fills a gap in the published research by taking into account both positive and negative outcomes of employee ownership. Our model produces three main conclusions: (i) Low-performing managers use employee ownership as an entrenchment mechanism (ii) that increases the signaling cost of employee ownership for high-performing managers. (iii) We suggest that employee ownership should not be left only to the management's discretion because both types of managers have an incentive to implement employee ownership. Our empirical study investigates how employee ownership affects management tenure. This study takes into account the two main motives for employee ownership examined by the model (i.e., management entrenchment and reward management). We find a positive relationship between employee ownership and management tenure. This result provides new evidence that employee ownership can be used as an entrenchment mechanism.

Modelling under ambiguity with dynamically consistent Choquet random walks and Choquet'Brownian motionsJournal articleRobert Kast, André Lapied and David Roubaud, Economic Modelling, Volume 38, Issue C, pp. 495-503, 2014

Ambiguity is pervasive in many environments and is increasingly being introduced into economic and financial models. This paper characterises ambiguity in the form of newly defined Choquet random walks: discrete-time binomial trees with capacities instead of exact probabilities on their branches. We describe the axiomatic basis of Choquet random walks, including dynamic consistency. We also discuss the convergence of Choquet random walks to Choquet-Brownian motion in continuous time. In contrast to previous literature, we derive tractable stochastic processes that allow for a wide range of ambiguity preferences to be represented in continuous time (including ambiguity-seeking preferences). Finally, we apply Choquet-Brownian ambiguity to a model of stationary inter-temporal portfolio choice. We find that both the mean and the variance of the underlying stochastic process are modified. This result opens the way for qualitative and quantitative results that differ from those of standard expected utility models and other models that feature ambiguity.

Le cycle de la conjoncture chez Schumpeter: éternel retour du même?Journal articleAndré Lapied and Sophie Swaton, Revue de Philosophie Economique / Review of Economic Philosophy, Volume 15, Issue 1, pp. 17-47, 2014

Cet article s'inscrit dans la lignée de précédents travaux visant ? rapprocher l'entrepreneur schumpétérien et le surhumain nietzschéen. Les deux partagent une créativité pouvant s'interpréter comme l'extériorisation d'un surcroît de force qui, dans l'optique nietzschéenne, s'assimile ? la source extra-morale de l'accroissement de la vie. Reste ? savoir si le cadre dans lequel ils évoluent est le même. Au-del? d'une approche historique du cycle de la conjoncture, notre hypothèse est que l'approche philosophique d'un cycle du devenir s'avère être féconde pour une interprétation enrichie du cycle de la conjoncture, complétant et prolongeant ainsi notre interprétation du surhumain et de l'entrepreneur.

Sélection naturelle ou volonté de puissance: comment interpréter le processus de destruction créatrice ?Journal articleAndré Lapied and Sophie Swaton, Revue de Philosophie Economique / Review of Economic Philosophy, Volume 14, Issue 2, pp. 43-65, 2013

La délicate mise en rapport de la philosophie nietzschéenne et de l'économie est d'une pratique récente. Dans ce contexte, cet article est motivé par l'introduction du traitement nietzschéen de la « destruction créatrice » en économie et la manière de justifier philosophiquement cette référence. Pour cela, nous mettons en concurrence les interprétations évolutionnistes et nietzschéennes de la destruction créatrice. Ces deux métaphores nous semblent difficilement conciliables et nous avançons des arguments en faveur de la volonté de puissance, contre la lutte pour la vie, pour mieux interpréter le mécanisme de destruction créatrice.

L'entrepreneur schumpétérien est-il surhumain ?Journal articleAndré Lapied and Sophie Swaton, Cahiers d'économie Politique / Papers in Political Economy, Volume 2, Issue 65, pp. 183-202, 2013

Bon nombre de commentateurs admettent l’influence de Nietzsche dans la conception schumpétérienne de l’entrepreneur. Mais, de notre point de vue, cette influence est souvent traitée exclusivement dans le contexte historique et dans une version très réductrice de l’entrepreneur. Nous avançons que ce dernier gagnerait à se lire sous un angle philosophique, en particulier à travers une interprétation nietzschéenne axée sur la volonté de puissance, même si, évidemment, Schumpeter n’a pas voulu aller si loin.

A note on “Re-examining the law of iterated expectations for Choquet decision makers”Journal articleAndré Lapied and Pascal Toquebeuf, Theory and Decision, Volume 74, Issue 3, pp. 439-445, 2013

This note completes the main result of Zimper (Theory and decision, doi: 10.1007/s11238-010-9221-8 , 2010 ), by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν(dω)]=E[E[f(ω i, j ), ν(A i, j |A i )], ν(A i )], is valid only when the act f is comonotonic with its dynamic form, that we name “conditional certainty equivalent act”. Copyright Springer Science+Business Media New York 2013

A subjective discounted utility modelJournal articleAndré Lapied and Olivier Renault, Economics Bulletin, Volume 32, Issue 2, pp. 1171-1179, 2012

Intertemporal choices involve a great heterogeneity among discount mechanisms. In order to catch such diversity, we introduce an axiomatic Subjective Discounted Utility (SDU) model based on separability assumption. The originality of the SDU model rests on the fact that decision makers discount subjective periods, namely decision weights can be described as standard discount functions of time perception. In particular, our model appears as a generalization of both exponential and hyperbolic approaches.

Dynamically consistent CEU preferences on f-convex eventsJournal articleAndré Lapied and Pascal Toquebeuf, Mathematical Social Sciences, Volume 63, Issue 3, pp. 252-256, 2012

We give an axiomatic foundation to the updating rule proposed by Sarin and Wakker [Sarin, R., Wakker, P.P., 1998a. Revealed likelihood and knightian uncertainty. Journal of Risk and Uncertainty 16, 223–250] for CEU preferences. This rule is dynamically consistent but non-consequentialist, since forgone consequences are relevant for conditioning. Whereas it does not work universally, but only when counterfactuals outcomes are better and/or worse than the ones resulting on the conditioning event, the rule has many interesting features, since it is able to describe Ellsberg-type preferences together with a recursive structure of the criterion.