Publications

Abstract Evolutionary finance focuses on questions of “survival and extinction” of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and demand. Equilibrium is formed in each time period in the course of interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has been developed for models in which short selling is not allowed and asset supply is exogenous. The present paper extends the theory to a class of models with short selling and endogenous asset supply.
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Abstract Introduction: Despite the early implementation of hepatitis B vaccination and the ongoing decentralisation of chronic hepatitis B (CHB) care, over 10% of the Senegalese adult population lives with CHB and liver cancer remains a main cause of death. Investigating factors associated with CHB infection, prevention of CHB-related morbidity, and prevention and treatment of mortality secondary to CHB calls for a holistic and multidimensional approach. This paper presents the adaptation of the health capability profile (HCP) to a specific epidemiological issue and empirical setting: it seeks to identify and analyse inter-related abilities and conditions (health capabilities) in relation to the CHB epidemic in the rural area of Niakhar, Senegal. Methods and analysis: This ongoing study relies on a sequential social justice mixed-methods design. The HCP is comprehensively adapted to CHB in rural Senegal and guides the design and conduct of the study. Objective and subjective data are collected at the individual level following a mixed-methods explanatory core design. The quantitative module, embedded in the ANRS12356 AmBASS cross-sectional survey (exhaustive sampling), is used to select a purposeful sampling of participants invited for one-on-one qualitative interviews. Additional data are collected at the institutional and community level through health facility surveys and an ethnography (in-depth interviews) of local and national CHB stakeholders. Data analysis adopts a synergistic approach to produce a multilayered analysis of individual HCPs and crosscutting analysis of the 15 health capabilities. The data integration strategy relies on a mixed-methods convergent core design, and will use 0–100 health capability scores as well as flow diagrams to measure and characterise levels of development and interactions among health capabilities, respectively. Ethics and dissemination: This study was approved by Senegalese and French authorities. Results dissemination through local workshops and scientific publications aim at fuelling effective policy change towards CHB-related health capability.
Keywords Rural, Senegal, Chronic hepatitis B, Social justice mixed-methods study, Health capability profile, Health capability model
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Abstract Introduction: Despite the early implementation of hepatitis B vaccination and the ongoing decentralisation of chronic hepatitis B (CHB) care, over 10% of the Senegalese adult population lives with CHB and liver cancer remains a main cause of death. Investigating factors associated with CHB infection, prevention of CHB-related morbidity, and prevention and treatment of mortality secondary to CHB calls for a holistic and multidimensional approach. This paper presents the adaptation of the health capability profile (HCP) to a specific epidemiological issue and empirical setting: it seeks to identify and analyse inter-related abilities and conditions (health capabilities) in relation to the CHB epidemic in the rural area of Niakhar, Senegal. Methods and analysis: This ongoing study relies on a sequential social justice mixed-methods design. The HCP is comprehensively adapted to CHB in rural Senegal and guides the design and conduct of the study. Objective and subjective data are collected at the individual level following a mixed-methods explanatory core design. The quantitative module, embedded in the ANRS12356 AmBASS cross-sectional survey (exhaustive sampling), is used to select a purposeful sampling of participants invited for one-on-one qualitative interviews. Additional data are collected at the institutional and community level through health facility surveys and an ethnography (in-depth interviews) of local and national CHB stakeholders. Data analysis adopts a synergistic approach to produce a multilayered analysis of individual HCPs and crosscutting analysis of the 15 health capabilities. The data integration strategy relies on a mixed-methods convergent core design, and will use 0–100 health capability scores as well as flow diagrams to measure and characterise levels of development and interactions among health capabilities, respectively. Ethics and dissemination: This study was approved by Senegalese and French authorities. Results dissemination through local workshops and scientific publications aim at fuelling effective policy change towards CHB-related health capability.
Keywords Chronic hepatitis B, Social justice mixed-methods study, Health capability profile, Health capability model, Senegal, Rural
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Abstract The aim of this paper is to study the role of the distribution of income by age group on the existence of speculative bubbles. A crucial question is whether this distribution may promote a bubble associated to a larger level of capital, that is a productive bubble. We address these issues in an overlapping generations model where agents live three periods and productive investment done in the first period of life is an illiquid investment whose return occurs in the following two periods. A bubble is a liquid speculative investment that facilitates intertemporal consumption smoothing. We show that the distribution of income by age group determines both the existence and the effect of bubbles on aggregate production. We also show that fiscal policy, by changing the distribution of income, may facilitate or prevent the existence of bubbles and may also modify the effect that bubbles have on aggregate production.
Keywords Overlapping generations, Income distribution, Efficiency, Bubble
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Abstract In this paper, in the context of quasi-metric spaces, we obtain two set-valued versions of the Ekeland variational-type principle by means of lower and upper set less relations, for the case where the perturbations need not satisfy the triangle inequality. An application in terms of migration problems and quality of life is given.
Keywords Variational rationality, Quasi-metric space, Trap, Set-valued mapping, Lower and upper set less relations
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Abstract Despite unprecedented progress in developing COVID-19 vaccines, global vaccination levels needed to reach herd immunity remain a distant target, while new variants keep emerging. Obtaining near universal vaccine uptake relies on understanding and addressing vaccine resistance. Simple questions about vaccine acceptance however ignore that the vaccines being offered vary across countries and even population subgroups, and differ in terms of efficacy and side effects. By using advanced discrete choice models estimated on stated choice data collected in 18 countries/territories across six continents, we show a substantial influence of vaccine characteristics. Uptake increases if more efficacious vaccines (95% vs 60%) are offered (mean across study areas = 3.9%, range of 0.6%–8.1%) or if vaccines offer at least 12 months of protection (mean across study areas = 2.4%, range of 0.2%–5.8%), while an increase in severe side effects (from 0.001% to 0.01%) leads to reduced uptake (mean = −1.3%, range of −0.2% to −3.9%). Additionally, a large share of individuals (mean = 55.2%, range of 28%–75.8%) would delay vaccination by 3 months to obtain a more efficacious (95% vs 60%) vaccine, where this increases further if the low efficacy vaccine has a higher risk (0.01% instead of 0.001%) of severe side effects (mean = 65.9%, range of 41.4%–86.5%). Our work highlights that careful consideration of which vaccines to offer can be beneficial. In support of this, we provide an interactive tool to predict uptake in a country as a function of the vaccines being deployed, and also depending on the levels of infectiousness and severity of circulating variants of COVID-19.
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Abstract In this paper, we revisit the theory of spatial externalities. In particular, we depart in several respects from the important literature studying the fundamental pollution free riding problem uncovered in the associated empirical works. First, instead of assuming ad hoc pollution diffusion schemes across space, we consider a realistic spatiotemporal law of motion for air and water pollution (diffusion and advection). Second, we tackle spatiotemporal non-cooperative (and cooperative) differential games. Precisely, we consider a circle partitioned into several states where a local authority decides autonomously about its investment, production and depollution strategies over time knowing that investment/production generates pollution, and pollution is transboundary. The time horizon is infinite. Third, we allow for a rich set of geographic heterogeneities across states while the literature assumes identical states. We solve analytically the induced non-cooperative differential game under decentralization and fully characterize the resulting long-term spatial distributions. We further provide with full exploration of the free riding problem, reflected in the so-called border effects. In particular, net pollution flows diffuse at an increasing rate as we approach the borders, with strong asymmetries under advection, and structural breaks show up at the borders. We also build a formal case in which a larger number of states goes with the exacerbation of pollution externalities. Finally, we explore how geographic discrepancies affect the shape of the border effects.
Keywords Transboundary pollution, Environmental federalism, Infinite dimensional optimal control problems, Differential games in continuous time and space, Spatial diffusion, Spatial externalities
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Abstract The objective of this paper is to emphasize the di¤erences between a call and a warrant as well as the di¤erent valuation methods of warrants which have been introduced in the nancial literature. For the sake of simplicity and applicability, we only consider a debt-free equitynanced rm. More recently a formal distinction between structural and reduced form pricing models has been introduced. This distinction is important whether one wishes to price a new warrant issue or outstanding warrants. If we are interested in pricing a new issue of warrants, e.g. in the context of a management incentive package, one has to rely on a structural model. However most of practitioners use the simple Black-Scholes formula. In this context, we analyze the accuracy of the approximation of the "true" price of a warrant by the Black-Scholes formula. We show that in the current low interest rate environment, the quality of the approximation deteriorates and the sensitivity of this approximation to the volatility estimate increases.
Keywords Warrant, Option, Black-Scholes
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Abstract Most patient-reported experience measures (PREMs) are paper-based, leading to a high burden for patients and care providers. The aim of this study was to (1) calibrate an item bank to measure patients’ experience of respect and dignity for adult patients with serious mental illnesses and (2) develop computerized adaptive testing (CAT) to improve the use of this PREM in routine practice. Patients with schizophrenia, bipolar disorder, and major depressive disorder were enrolled in this multicenter and cross-sectional study. Psychometric analyses were based on classical test and item response theories and included evaluations of unidimensionality, local independence, and monotonicity; calibration and evaluation of model fit; analyses of differential item functioning (DIF); testing of external validity; and finally, CAT development. A total of 458 patients participated in the study. Of the 24 items, 2 highly inter-correlated items were deleted. Factor analysis showed that the remaining items met the unidimensional assumption (RMSEA = 0.054, CFI = 0.988, TLI = 0.986). DIF analyses revealed no biases by sex, age, care setting, or diagnosis. External validity testing has generally supported our assumptions. CAT showed satisfactory accuracy and precision. This work provides a more accurate and flexible measure of patients’ experience of respect and dignity than that obtained from standard questionnaires.
Keywords Psychiatry, Mental health, Schizophrenia, Depressive disorders, Bipolar disorders, Patient-reported experience measures, Health services research
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Abstract This study examines the impact of personalized gender-based communication to encourage the screening of depression and seeking out mental health care consultation. An internet search engine advertisement was deployed on Bing, Microsoft during the COVID-19 pandemic lockdowns in the Provence–Alpes–Côte d'Azur (PACA) region in France during the month of May 2020, the height of the France lockdowns. A two-armed study was conducted with Arm A containing a non-personalized (control) advertisement and Arm B containing a personalized gender-based advertisement. 53,185 advertisements were shown between the two arms. Results show that receiving a personalized gender-based message increases the probability of clicking on the advertisement. However, upon clicking the advertisement, there was no significant difference in the completion of the depression questionnaire between the two groups. These results suggest that although personalized gender messaging is effective at drawing in a greater click rate, it did not increase, nor decreased, the conversion rate to monitor depression by self-assessment.
Keywords Personalized communication, Depression, Bing, COVID-19
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Abstract This paper evaluates the effect on mental health of consecutive terrorist attacks in France in 2015 and 2016. We compile information about the three main terrorist attacks that struck France over this period and assess whether the potential effect on mental health (i.e., depression) of a terrorist attack is smoothed once people consider terrorist attacks as “the new normality.” We exploit data from the French Constances epidemiological survey and combine an event study strategy with a difference-in-difference approach to compare before-after changes in mental health the year of the attack with the same changes the year before. We show that the negative effect of a terrorist attack on mental health decreases over time from one attack to another, and disappears completely for the last attack. Socio-demographic composition of the sample, geographical or socio-demographic proximity to the victims or media exposure do not arise as factors responsible for this changing effect of terrorist attacks on mental health.
Keywords Terrorism, Mental health, Event study, Difference-in-difference
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Abstract Public good games are at the core of many environmental challenges. In such social dilemmas, a large share of people endorse the norm of reciprocity. A growing literature complements this finding with the observation that many players exhibit a self-serving bias in reciprocation: "weak reciprocators" increase their contributions as a function of the effort level of the other players, but less than proportionally. In this paper, we build upon a growing literature on truth-telling to argue that weak reciprocity might be best conceived not as a preference, but rather as a symptom of an internal trade-off at the player level between (i) the truthful revelation of their private reciprocal preference, and (ii) the economic incentives they face (which foster free-riding). In truth-telling experiments, many players misrepresent private information when this is to their material benefit, but to a significantly lesser extent than what would be expected based on the profit-maximizing strategy. We apply this behavioral insight to strategic situations, and test whether the preference revelation properties of the classic voluntary contribution game can be improved by offering players the possibility to sign a classic truth-telling oath. Our results suggest that the honesty oath helps increase cooperation (by 33% in our experiment). Subjects under oath contribute in a way which is more consistent with (i) the contribution they expect from the other players and (ii) their normative views about the right contribution level. As a result, the distribution of social types elicited under oath differs from the one observed in the baseline: some free-riders, and many weak reciprocators, now behave as pure reciprocators.
Keywords Social preferences, Reciprocity, Public goods, Cooperation, Truth-telling oath, Social preferences, Social preferences, Social preferences
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Abstract Top incomes are often related to Pareto distribution. To date, economists have mostly used Pareto Type I distribution to model the upper tail of income and wealth distribution. It is a parametric distribution, with interesting properties, that can be easily linked to economic theory. In this paper, we first show that modeling top incomes with Pareto Type I distribution can lead to biased estimation of inequality, even with millions of observations. Then, we show that the Generalized Pareto distribution and, even more, the Extended Pareto distribution, are much less sensitive to the choice of the threshold. Thus, they can provide more reliable results. We discuss different types of bias that could be encountered in empirical studies and, we provide some guidance for practice. To illustrate, two applications are investigated, on the distribution of income in South Africa in 2012 and on the distribution of wealth in the United States in 2013.
Keywords Inequality measures, Top incomes, Pareto distribution
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Abstract The goal of this paper is to provide and examine an important extension of the usual portfolio insurance, namely to study the notion of portfolio performance participation. In this framework, the portfolio is based on two risky assets: the rst one corresponds to a reserve asset, while the second one is considered as an active asset which has usually both a higher mean and a higher variance. We aim at insuring a given percentage of the reserve asset return, whatever the market uctuations. The two main performance participation methods are the Option-Based Performance Participation (OBPP) and the Constant Proportion Performance Participation (CPPP). We compare these two portfolio strategies by means of various criteria such as their payo¤s at maturity, their four rst moments and their cumulative distributions functions. We also compare their dynamic hedging properties by computing in particular their deltas and vegas.
Keywords CPPP, OBPP, Performance participation, Portfolio insurance, CPPP
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Abstract In finitely repeated public goods games, contributions are initially high, and gradually decrease over time. Two main explanations are consistent with this pattern: (i) the population is composed of free-riders, who never contribute, and conditional cooperators, who contribute if others do so as well; (ii) strategic players contribute to sustain mutually beneficial future cooperation, but reduce their contributions as the end of the game approaches. This paper analyzes experimentally these explanations, by manipulating group composition to form homogeneous groups on both the preference and the strategic ability dimensions. Our results highlight the role of strategic ability in sustaining contributions, and suggest that the interaction between the two dimensions also matters: we find that groups that sustain high levels of cooperation are composed of members who share a common inclination toward cooperation and also have the strategic abilities to recognize and reap the benefits of enduring cooperation.
Keywords Strategic sophistication, Free riding, Conditional cooperation, Public goods, Voluntary contribution
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Abstract This paper is concerned with the historical roots of gender equality. It proposes and empirically assesses a new determinant of gender equality: gender-specific outside options in the marriage market. In particular, enlarging women's options besides marriage-even if only temporarily-increases their bargaining power with respect to men, leading to a persistent improvement in gender equality. We illustrate this mechanism focusing on Belgium, and relate gender-equality levels in the 19th century to the presence of medieval, female-only communities called beguinages that allowed women to remain single amidst a society that traditionally advocated marriage. Combining geo-referenced data on beguinal communities with 19th-century census data, we document that the presence of beguinages contributed to decrease the gender gap in literacy. The reduction is sizeable, amounting to a 12.3% drop in gender educational inequality. Further evidence of the beguinal legacy is provided leveraging alternative indicators of female agency.
Keywords Culture, Economic Persistence, Institutions, Religion, Gender Gap
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Abstract We provide evidence on the link between the policy response to the SARS CoV-2 pandemic and conflicts worldwide. We combine daily information on conflict events and government policy responses to limit the spread of SARS CoV-2 to study how demonstrations and violent events vary following shutdown policies. We use the staggered implementation of restriction policies across countries to identify the dynamic effects in an event study framework. Our results show that imposing a nation-wide shutdown is associated with a reduction in the number of demonstrations, which suggests that public demonstrations are hampered by the rising cost of participation. However, the reduction is short-lived, as the number of demonstrations are back to their pre-restriction levels in two months. In contrast, we observe that the purported increase in mobilization or coordination costs, following the imposition of restrictions, is not followed by a drop of violent events that involve organized armed groups. Instead, we find that the number of events, on average, increases slightly following the implementation of the restriction policies. The rise in violent events is most prominent in poorer countries, with higher levels of polarization, and in authoritarian countries. We discuss the potential channels underlying this heterogeneity.
Keywords Mobility, Violence, Conflict, SARS CoV-2
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Abstract This paper evaluates if same-sex marriage (SSM) laws, approved in several European Union countries over the past decades, have contributed to favor gay-friendly opinions among people depending on their social interactions. We propose a dyadic model in which individuals learn about the social norm conveyed by a law through strong and weak ties. We show that the relative importance of these social ties in shaping individuals’ opinions depends on the alignment between the law and the local social norm. Using the 2002–2016 European Social Surveys, we test the theoretical predictions with a pseudo-panel dynamic difference-in-difference setting relying on the progressive adoption of SSM in European countries. We show that strong ties induce a lower increase in gay-friendly opinions following the adoption of SSM when the law is aligned with the local social norm. When the law clashes with this norm, strong ties induce a larger increase.
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