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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”.
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.
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.
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.
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.
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.
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.
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
Several updating rules for Choquet capacities have been proposed in the literature. We propose to study them in a general framework consisting of extending the definition of conditional expectations to the Choquet case. Then we adopt several relations between unconditional and conditional expectations and observe which updating rule is able to resolve such and such a relation. It allows to specify which updating rule should be used depending on the decision context.
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.