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Uncertain production environment and communication structure: the Bayesian Myerson value 不确定的生产环境与沟通结构:贝叶斯迈尔森值
ERN: Other Microeconomics: Information Pub Date : 2021-10-04 DOI: 10.2139/ssrn.3935956
Rodrigue Tido Takeng
{"title":"Uncertain production environment and communication structure: the Bayesian Myerson value","authors":"Rodrigue Tido Takeng","doi":"10.2139/ssrn.3935956","DOIUrl":"https://doi.org/10.2139/ssrn.3935956","url":null,"abstract":"Pongou and Tondji (Pongou and Tondji, Games and Economic Behavior, 108, 206-224, 2018) described an uncertain production environment as a situation where input supply is uncertain. Each input has a finite set of actions, and uncertainty is formalized as a probability distribution over this set. These inputs can be workers in a firm, vertices in a networked economy, securities in a financial market, etc. Then they examined the problem of valuing inputs in that environment. By using axiomatic methods, they provided a solution called the a priori Shapley value. Knowing the output level, they provided a solution called the Bayesian Shapley value. In this paper, we examine some applications of the Myerson value (Myerson, Mathematics of Operations Research, 2, 225-229, 1977) in the field of uncertain production environment. By defining some intuitive axioms, we solve the problem of valuing inputs in Pongou and Tondji's (2018) environment enriched by a communication structure. Depending on the information structure, this leads to the a priori Myerson value and its individual rational revision called the a priori Myerson R value, or the Bayesian Myerson value and its individual rational revision called the Bayesian Myerson R value. Furthermore, we introduce the notion of the core in this environment.","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123415764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Recursive equilibria in dynamic economies with bounded rationality 有限理性动态经济中的递归均衡
ERN: Other Microeconomics: Information Pub Date : 2021-04-30 DOI: 10.2139/ssrn.3837485
Runjie Geng, A. Zhang
{"title":"Recursive equilibria in dynamic economies with bounded rationality","authors":"Runjie Geng, A. Zhang","doi":"10.2139/ssrn.3837485","DOIUrl":"https://doi.org/10.2139/ssrn.3837485","url":null,"abstract":"I provide a new way to model bounded rationality and show the existence of recursive equilibria with bounded rational agents. The existence proof applies to dynamic stochastic general equilibrium models with infinitely lived heterogeneous agents and incomplete markets. In this type of models, recursive methods are widely used to compute equilibria, yet recursive equilibria do not exist generically with rational agents. I change the rational expectation assumption and model bounded rationality as follows. Different from a rational agent, a bounded rational agent does not know the true Markov transition of the state space of the economy. In order to make decisions, the bounded rational agent would try to compute a stationary distribution of the state space using a numerical method and then use the Markov transition associated with it to maximize utility. For a certain distribution of the current period, given other agents' strategies, the agent would get its next-period transition: the distribution of the state space in the next period that results from the competitive equilibrium in the next period. However, if a distribution stays ``closer'' to its next-period transition than the minimum error the numerical method can observe, the agent would consider it as computational stationary. In equilibrium, each agent maximizes utility with a computational stationary distribution and markets clear. I use the Kantorovich-Rubinshtein norm to characterize the distance between distributions of the state space. With this set up, usual convergence criteria used in the literature can be incorporated and thus many computed equilibria in the literature using recursive methods can be categorized as bounded rational recursive equilibria in the sense of this paper.","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130699845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Investment and Information Acquisition 投资与信息获取
ERN: Other Microeconomics: Information Pub Date : 2020-03-28 DOI: 10.2139/ssrn.3565503
Dimitri Migrow, S. Severinov
{"title":"Investment and Information Acquisition","authors":"Dimitri Migrow, S. Severinov","doi":"10.2139/ssrn.3565503","DOIUrl":"https://doi.org/10.2139/ssrn.3565503","url":null,"abstract":"We study the interaction between productive investment and persuasion activities in a principal–agent setting with strategic disclosure. In an attempt to persuade the principal, the agent diverts substantial resources from productive activities to information acquisition for persuasion, even though productive activities are more efficient and raise the chances of success in persuasion. The equilibrium outcomes of simultaneous and sequential allocation procedures are the same, because the value of learning and experimentation through information acquisition is dominated by the value of productive investment. We show that an increase in cost of an investment project leads to a lower productive investment. (JEL D21, D82, D83, D86, G31)","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"5 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123456224","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals 反周期风险厌恶的证据:金融专业人士的实验
ERN: Other Microeconomics: Information Pub Date : 2014-08-01 DOI: 10.2139/ssrn.2327557
Alain Cohn, J. Engelmann, E. Fehr, Michel André Maréchal
{"title":"Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals","authors":"Alain Cohn, J. Engelmann, E. Fehr, Michel André Maréchal","doi":"10.2139/ssrn.2327557","DOIUrl":"https://doi.org/10.2139/ssrn.2327557","url":null,"abstract":"Countercyclical risk aversion can explain major puzzles such as the high volatility of asset prices. Evidence for its existence is, however, scarce because of the host of factors that simultaneously change during financial cycles. We circumvent these problems by priming financial professionals with either a boom or a bust scenario. Subjects primed with a financial bust were substantially more fearful and risk averse than those primed with a boom, suggesting that fear may play an important role in countercyclical risk aversion. The mechanism described here is relevant for theory and may explain self-reinforcing processes that amplify market dynamics. (JEL E32, E44, G01, G11, G12)","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133027384","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 418
On the (Non) Existence of a Price Equilibrium in Delegation Games with Relative Performance Compensation 关于具有相对绩效补偿的委托博弈中价格均衡的(不)存在性
ERN: Other Microeconomics: Information Pub Date : 2012-01-16 DOI: 10.2139/ssrn.1988115
M. Kopel, L. Lambertini
{"title":"On the (Non) Existence of a Price Equilibrium in Delegation Games with Relative Performance Compensation","authors":"M. Kopel, L. Lambertini","doi":"10.2139/ssrn.1988115","DOIUrl":"https://doi.org/10.2139/ssrn.1988115","url":null,"abstract":"We show that Miller and Pazgal.s (2001) model of strategic delegation, in which managerial incentives are based upon relative performance, is affected by a non-existence problem which has impact on the price equilibrium. The undercutting incentives generating this result are indeed similar to those affecting the stability of price cartels.","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124683265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Technical Appendix: Information Sales and Strategic Trading 技术附录:信息销售与策略交易
ERN: Other Microeconomics: Information Pub Date : 2009-05-11 DOI: 10.2139/ssrn.1404445
Diego García, F. Sangiorgi
{"title":"Technical Appendix: Information Sales and Strategic Trading","authors":"Diego García, F. Sangiorgi","doi":"10.2139/ssrn.1404445","DOIUrl":"https://doi.org/10.2139/ssrn.1404445","url":null,"abstract":"In this technical appendix we extend the results in the paper “Information sales and strategic trading.” We study the problem of a monopolist selling information to a set of risk-averse traders. We first analytically reduce the seller’s problem to a simple constrained optimization, allowing for arbitrary allocations of information. We also fully characterize the equilibria in the models of Kyle (1985) and Kyle (1989) under general signal structures. Finally, we provide details on the numerical solutions to the information sales problems presented in the paper.","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130375310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Explaining Asymmetric Volatility around the World 解释全球不对称波动
ERN: Other Microeconomics: Information Pub Date : 2009-02-11 DOI: 10.2139/ssrn.1340760
Tõnn Talpsepp, M. Rieger
{"title":"Explaining Asymmetric Volatility around the World","authors":"Tõnn Talpsepp, M. Rieger","doi":"10.2139/ssrn.1340760","DOIUrl":"https://doi.org/10.2139/ssrn.1340760","url":null,"abstract":"Based on the APARCH model and two outlier detection methods, we compute reliable time series of volatility asymmetry for 49 countries with relatively few observations. Results show a steady increase in the asymmetry over the years for most countries. We find that economic development and market capitalization/GDP are the most important factors that increase volatility asymmetry. We also find that higher participation of private investors and coverage by financial analysts increase the asymmetry, suggesting investor sentiment as a driving force. Leverage and feasibility of short selling increase volatility in falling market conditions, although only to a smaller extent.","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123356212","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 43
Dynamic Vendor Selection using the FAHP Approach 使用FAHP方法的动态供应商选择
ERN: Other Microeconomics: Information Pub Date : 2008-11-01 DOI: 10.2139/ssrn.1351359
R. Verma, S. Koul
{"title":"Dynamic Vendor Selection using the FAHP Approach","authors":"R. Verma, S. Koul","doi":"10.2139/ssrn.1351359","DOIUrl":"https://doi.org/10.2139/ssrn.1351359","url":null,"abstract":"In the ever-changing world, vendor selection is useful in supply chain management. Dynamic model supporting vendors with time axis are not always crisp rather involve a high degree of fuzziness and uncertainty in the real life situation. This paper proposes a dynamic model with uncertainty based on Fuzzy AHP for long-term strategic vendor selection problems. The selection of partnership supplier is thus illustrated by our methodology.","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123202736","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Implementation with Interdependent Valuations 相互依赖估值的实施
ERN: Other Microeconomics: Information Pub Date : 2006-03-01 DOI: 10.2139/ssrn.889570
R. McLean, Andrew Postlewaite
{"title":"Implementation with Interdependent Valuations","authors":"R. McLean, Andrew Postlewaite","doi":"10.2139/ssrn.889570","DOIUrl":"https://doi.org/10.2139/ssrn.889570","url":null,"abstract":"It is well-known that the ability of the Vickrey-Clarke-Groves (VCG) mechanism to implement efficient outcomes for private value choice problems does not extend to interdependent value problems. When an agent's type affects other agents' utilities, it may not be incentive compatible for him to truthfully reveal his type when faced with VCG payments. We show that when agents are informationally small, there exist small modifications to the VCG transfers that restore incentive compatibility. We further show that truthful revelation is an approximate ex post equilibrium. Lastly, we show that in replicated settings aggregate payments sufficient to induce truthful revelation go to zero.","PeriodicalId":320672,"journal":{"name":"ERN: Other Microeconomics: Information","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129064191","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 32
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