
on Utility Models and Prospect Theory 
By:  Frédéric Dufourt (AixMarseille University (AixMarseille School of Economics)CNRSEHESS); Kazuo Nishimura (RIEB, Kobe University & KIER, Kyoto University); Carine Nourry (AixMarseille University (AixMarseille School of Economics)CNRSEHESS); Alain Venditti 
Abstract:  We analyze a version of the Benhabib and Farmer [3] twosector model with sectorspecific externalities in which we consider a class of utility functions inspired from the one considered in Jaimovich and Rebelo [14] which is flexible enough to encompass varying degrees of income effect. First, we show that local indeterminacy and sunspot fluctuations occur in 2sector models under plausible configurations regarding all structural parameters – in particular regarding the intensity of income effects. Second, we prove that there even exist some configurations for which local indeterminacy arises under any degree of income effect. More precisely, for any given size of income effect, we show that there is a nonempty range of values for the Frisch elasticity of labor and the elasticity of intertemporal substitution in consumption such that indeterminacy occurs. This contrasts with the results obtained in onesector models in both Nishimura et al. [19], in which it is shown that indeterminacy cannot occur under either GHH and KPR preferences, and in Jaimovich [13] in which local indeterminacy only arises for intermediary income effects. 
Keywords:  Indeterminacy, sunspots, income and substitution effects, sectorspecific externalities, infinite horizon twosector model 
JEL:  C62 E32 O41 
Date:  2016–01 
URL:  http://d.repec.org/n?u=RePEc:aim:wpaimx:1607&r=upt 
By:  DREZE, J. (Université catholique de Louvain, CORE, Belgium) 
Abstract:  Under statedependent preferences, probabilities and units of scale of statedependent utilities are not separately identified, in standard models: only their products matter to decisions. Separate identification has been studied under implicit actions (Drèze 1987) or under explicit actions and observations (Karni 2011). This paper complements both approaches and relates them. 
Keywords:  expected utility, statedependent preferences, subjective probability 
JEL:  D81 
Date:  2015–10–20 
URL:  http://d.repec.org/n?u=RePEc:cor:louvco:2015044&r=upt 
By:  Masayuki Yao (Research Associate (Nontenured), Department of Economics, Keio University) 
Abstract:  This study infinitehorizon deterministic dynamic programming problems based on recursive utility in discrete time. Under a small number of conditions, we show that the Bellman operator has a fixed point using KnasterTarski's fixed point theorem. We also show the fixed point of the Bellman operator can be computed by iteration from the initial function between the lower boundary and the fixed point. To show the convergence theorem, we use TarskiKantorovitch's fixed point theorem. 
Keywords:  Recursive utility, Fixed point theorem, Dynamic programming, Bellman equation 
JEL:  C61 O41 
Date:  2016–02 
URL:  http://d.repec.org/n?u=RePEc:kob:dpaper:dp201608&r=upt 
By:  Dasgupta, Utteeyo; Mani, Subha; Sharma, Smriti; Singhal, Saurabh 
Abstract:  Field constraints often necessitate choosing an elicitation task that is intuitive, easy to explain, and simple to implement. Given that subject behavior often differs dramatically across tasks when eliciting risk preferences, caution needs to be exercised in choosing one risk elicitation task over another in the face of field constraints. We compare behavior in the simple most investment game (Gneezy and Potters 1997) and the ordered lottery choice game (Eckel and Grossman 2002) to evaluate whether the simpler task allows us to elicit attitudes consistent with those elicited from the ordered lottery task. Using a sample of over 2000 Indian undergraduate students, we find risk attitudes to be fairly stable across the two tasks. Our results further indicate that the consistency of risk attitudes across the tasks depends on gender of the subject, quantitative skills, father’s education level, and dispositional factors such as locus of control and Big Five personality traits. 
Keywords:  Risk preferences, Experiment Design, Elicitation Methods, Personality Traits, India 
JEL:  C81 C91 D81 
Date:  2016–02 
URL:  http://d.repec.org/n?u=RePEc:pra:mprapa:69674&r=upt 
By:  DEHEZ, P. (Université catholique de Louvain, CORE, Belgium) 
Abstract:  The concept of dividend of a coalition introduced by Harsanyi in 1959 within the framework of transferable utility games is a flexible and powerful concept that can be used to characterize different solution concepts, including random order values and weighted Shapley values. Many authors have contributed to that question. Here, we offer a synthesis of their work, with a particular attention to restrictions on dividend distributions, starting with the seminal contributions of Vasil'ev (1978), Hammer, Peled and Sorensen (1977) and Derks, Haller and Peters (2000), until the recent paper of van den Brink, van der Laan and Vasil'ev (2014). 
Keywords:  Harsanyi dividends, Weber set, weighted Shapley values, core 
JEL:  C71 
Date:  2015–09–30 
URL:  http://d.repec.org/n?u=RePEc:cor:louvco:2015040&r=upt 
By:  Lorenzo Bastianello; Alain Chateauneuf 
Date:  2016–02–18 
URL:  http://d.repec.org/n?u=RePEc:ipg:wpaper:201330&r=upt 
By:  Rangan Gupta; Shawkat Hammoudeh; Mampho P. Modise; Duc Khuong Nguyen 
Date:  2016–02–18 
URL:  http://d.repec.org/n?u=RePEc:ipg:wpaper:201320&r=upt 
By:  Santiago Gamba Santamaría (Universidad Javeriana); Oscar Fernando Jaulín Méndez (Banco de la República de Colombia); Luis Fernando Melo Velandia (Banco de la República de Colombia); Carlos Andrés Quicazán Moreno (Banco de la República de Colombia) 
Abstract:  Value at Risk (VaR) is a market risk measure widely used by risk managers and market regulatory authorities. There is a variety of methodologies proposed in the literature for the estimation of VaR. However, few of them get to say something about its distribution or its confidence intervals. This paper compares different methodologies for computing such intervals. Several methods, based on asymptotic normality, extreme value theory and subsample bootstrap, are used. Using Monte Carlo simulations, it is found that these approaches are only valid for high quantiles. In particular, there is a good performance for VaR (99%), in terms of coverage rates, and bad performance for VaR (95%) and VaR (90%). The results are confirmed by an empirical application for the stock market index returns of G7 countries. Classification JEL:C51, C52, C53, G32. 
Keywords:  Value at Risk, confidence intervals, data tilting, subsample bootstrap. 
Date:  2016–02 
URL:  http://d.repec.org/n?u=RePEc:bdr:borrec:927&r=upt 
By:  Ismail M.S. (GSBE) 
Abstract:  We show that there are games and decision situations in which it is not possible for the decision maker to be rational a la von NeumannMorgenstern in both situations simultaneously, which is the source of the paradox presented in this note. We provide an assumption which is the necessary and sufficient condition for a decision maker to be rational in both situations. 
Keywords:  Information, Knowledge, and Uncertainty: General; 
JEL:  D80 
Date:  2015 
URL:  http://d.repec.org/n?u=RePEc:unm:umagsb:2015041&r=upt 