Access denied

You are not authorized to access this page.

Publications

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.

Atemporal non-expected utility preferences, dynamic consistency and consequentialismJournal articleAndré Lapied and Pascal Toquebeuf, Economics Bulletin, Volume 30, Issue 2, pp. 1661-1669, 2010

This note studies conditions which allow to maintain a non-expected utility representation (Max-min expected utility and Choquet expected utility), dynamic consistency and consequentialism in an atemporal and purely subjective framework. By contrast with a dynamic set-up, where consistency can be reached with non-expected utility models, we show that both Maxmin expected utility and Choquet expected utility degenerate into an expected utility representation.

Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertaintyJournal articleRobert Kast and André Lapied, Theory and Decision, Volume 69, Issue 1, pp. 27-53, 2010

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.

Is employee ownership so senselessJournal articleNicolas Aubert, André Lapied, Bernard Grand and Patrick Rousseau, Finance, Volume 30, Issue 2, pp. 5-29, 2009

Since Enron and the ruin of thousands of its employees, employee ownership is harshly criticized. Investing savings in employer’s stock would be equivalent to bet on only one asset. Moreover, employee ownership’s debated efficiency would not justify employers to grant company stock to their employees. Still, employee ownership is put in place by thousands of companies and withhold by millions of employees throughout the world. This paper considers a moral hazard setting where a risk neutral entrepreneur grants company stock to its risk averse employee as an incentive. We show that there is an optimal transfer of employee ownership that satisfies employee’s risk preference and has an incentive effect. We thus bring about rational argument in favor of employee ownership.

Aporie de Diodore et formalisation de l'incertitudeJournal articleAndré Lapied, Cahiers d'économie Politique / Papers in Political Economy, Volume 50, Issue 1, pp. 155-164, 2006

Le Dominateur de Diodore Kronos donne un ensemble de prémisses contradictoires, l'une d'entre elles correspondant ? un principe d'incertitude. Il conclue ainsi à une certaine forme de nécessité. L'objet de cet article est d'examiner si le cadre utilisé pour décrire l'incertitude dans la théorie économique est soumis à l'aporie de Diodore, si les hypothèses retenues en économie de l'incertain correspondent aux prémisses contradictoires. Cette question dépasse le contexte économique car elle touche ? la théorie des probabilités. Pour cela, nous reprendrons l'écriture du Dominateur en logique des modalités et en donnons une démonstration directe. Nous exposons ensuite une modélisation qui permet de rapprocher les modalités du formalisme traditionnel de l'incertitude et réécrivons ainsi les prémisses de Diodore. Il est alors possible de retrouver l'aporie dans une version probabiliste et de conclure sur une éventuelle contradiction dans cette approche.

Construction d'un portefeuille sous-jacent virtuelJournal articleSophie Pardo, Robert Kast and André Lapied, Revue Économique, Volume 55, Issue 3, pp. 407-418, 2004

Real option theory, used for valuing investments or solve optimal time schedule problems, is based on the existence of a relevant underlying security. However, in most applied works, there is no obvious asset connected with the risk to value. One of the main difficulty, in applying real option theory to public investments, is to determine a relevant underlying asset. In this paper, we propose a method for constructing a virtual underlying security as a portfolio of marketed assets, optimizing the functional correlation coefficient. We propose two examples using real data concerning copper industry.Classification JEL : C13, C14, D81, G12, G13.

Comonotonic book making and attitudes to uncertaintyJournal articleAndré Lapied and Robert Kast, Mathematical Social Sciences, Volume 46, Issue 1, pp. 1-7, 2003

No abstract is available for this item.

Choquet pricing and equilibriumJournal articleAnja De Waegenaere, Robert Kast and André Lapied, Insurance: Mathematics and Economics, Volume 32, Issue 3, pp. 359-370, 2003

No abstract is available for this item.

Évaluation de risques controversés par la théorie des options réellesJournal articleRobert Kast, André Lapied, Sophie Pardo and Camelia Protopopescu, Economie & Prévision, Volume 149, Issue 3, pp. 51-63, 2001

Public decision-making and risk assessment in such fields as environmental risk, industrial risk, disaster insurance, and health and unemployment insurance require dynamics to be taken into account and generally give rise to controversy. In order to use real options theory for these fields, we propose methods for constructing a virtual underlying security on the basis of a portfolio of traded assets. Real options theory will take care of dynamic aspects of the decision-making process while construction of the virtual underlying security takes account of various levels of controversy.

Conditioning Capacities and Choquet Integrals: The Role of ComonotonyJournal articleAlain Chateauneuf, Robert Kast and André Lapied, Theory and Decision, Volume 51, Issue 2, pp. 367-386, 2001

Choquet integrals and capacities play a crucial role in modern decision theory. Comonotony is a central concept for these theories because the main property of a Choquet integral is its additivity for comonotone functions. We consider a Choquet integral representation of preferences showing uncertainty aversion (pessimism) and propose axioms on time consistency which yield a candidate for conditional Choquet integrals. An other axiom characterizes the role of comonotony in the use of information. We obtain two conditioning rules for capacities which amount to the well-known Bayes' and Dempster-Schafer's updating rules. We are allowed to interpret both of them as a lack of confidence in information in a dynamic extension of pessimism. Copyright Kluwer Academic Publishers 2001