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Never stop or never start? Optimal stopping under a mixture of CPT and EUT preferences 永不停止还是永不启动？在 CPT 和 EUT 混合偏好下的最佳停机方案
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-15 DOI: 10.1016/j.jet.2024.105925
{"title":"Never stop or never start? Optimal stopping under a mixture of CPT and EUT preferences","authors":"","doi":"10.1016/j.jet.2024.105925","DOIUrl":"10.1016/j.jet.2024.105925","url":null,"abstract":"<div><div>We consider the problem of finding the best time to stop a diffusion process for an agent with a preference model that is a mixture of expected utility theory (EUT) and cumulative prospect theory (CPT). In view of time-inconsistency, we consider two types of agents: a naive agent, who is not aware of the time-inconsistency and thus re-plans at every instant, and a sophisticated agent, who is aware of the time-inconsistency and takes a so-called intra-personal equilibrium strategy by correctly anticipating her actions in the future. We show that under a wide range of the CPT preference parameter values, the naive agent will never stop. For a sophisticated agent, we use a different notion of intra-personal equilibrium from the one employed by <span><span>Ebert and Strack (2018)</span></span>. We show that any two-threshold strategy, which is to stop when the diffusion process reaches either an upper threshold or a lower threshold, cannot be an intra-personal equilibrium if the agent overweights worst, unlikely outcomes disproportionally. We derive a sufficient and necessary condition for the strategy of stopping everywhere to be an intra-personal equilibrium and show that this condition does not hold and thus the sophisticated agent may choose to start the diffusion process for some commonly used probability weighting functions.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142442900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The formation of social groups under status concern 地位关切下社会群体的形成
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-10 DOI: 10.1016/j.jet.2024.105924
{"title":"The formation of social groups under status concern","authors":"","doi":"10.1016/j.jet.2024.105924","DOIUrl":"10.1016/j.jet.2024.105924","url":null,"abstract":"<div><div>I study the interaction of two forces in the formation of social groups: the preference for high quality peers and the desire for status among one's peers. I examine their equilibrium effects under different market structures and find that status concern reduces the potential for and benefit of sorting - both for a social planner and a monopolist - but the interaction between preference for quality and status can make the exclusion of some agents a second-best outcome. Even in settings with complementarities, price discrimination and screening can be necessary to facilitate sorting and increase welfare. Nevertheless, positional concerns can be beneficial for welfare if they provide sufficient incentive to engage more with one's group and thus increase positive spillovers. In those cases, welfare is higher if individuals have at least some degree of status concern, even if the welfare measure ignores such relative comparisons.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142432085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stable allocations in discrete exchange economies 离散交换经济中的稳定分配
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-10 DOI: 10.1016/j.jet.2024.105921
{"title":"Stable allocations in discrete exchange economies","authors":"","doi":"10.1016/j.jet.2024.105921","DOIUrl":"10.1016/j.jet.2024.105921","url":null,"abstract":"<div><div>We study stable allocations in an exchange economy with indivisible goods. The problem is well-known to be challenging, and rich enough to express fundamentally unstable economies, such as the roommate problem. Our approach stems from generalizing the original study of an exchange economy with unit demand and unit endowments, the <em>housing model</em>. Our first approach uses Scarf's theorem, and proposes sufficient conditions under which a “convexify then round” technique ensures that the core is nonempty. The upshot is that a core allocation exists in categorical economies with dichotomous preferences. Our second approach uses a generalization of the TTC: it works under general conditions, and finds a solution that is a version of the stable set.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142442899","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Rank-preserving multidimensional mechanisms: An equivalence between identical-object and heterogeneous-object models 保级多维机制：同物模型与异物模型之间的等价关系
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-09 DOI: 10.1016/j.jet.2024.105923
{"title":"Rank-preserving multidimensional mechanisms: An equivalence between identical-object and heterogeneous-object models","authors":"","doi":"10.1016/j.jet.2024.105923","DOIUrl":"10.1016/j.jet.2024.105923","url":null,"abstract":"<div><div>We show that the mechanism-design problem for a monopolist selling multiple, heterogeneous objects to a buyer with ex ante symmetric and additive values is equivalent to the mechanism-design problem for a monopolist selling identical objects to a buyer with decreasing marginal values. We derive three new results for the identical-objects model: (i) a new condition for revenue monotonicity of stochastic mechanisms, (ii) a sufficient condition on priors, such that prices in optimal deterministic mechanism are not increasing, and (iii) a simplification of incentive constraints for deterministic mechanisms. We use the equivalence to establish corresponding results in the heterogeneous-objects model.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142432084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Ambiguity, information processing, and financial intermediation 模糊性、信息处理和金融中介
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-09 DOI: 10.1016/j.jet.2024.105922
{"title":"Ambiguity, information processing, and financial intermediation","authors":"","doi":"10.1016/j.jet.2024.105922","DOIUrl":"10.1016/j.jet.2024.105922","url":null,"abstract":"<div><div>This paper incorporates ambiguity and information processing constraints into the <span><span>He and Krishnamurthy (2012)</span></span> model of intermediary asset pricing. Financial intermediaries possess greater information processing capacity than households. In response, households optimally choose to delegate their investment decisions. The contractual relationship between households and intermediaries is subject to a moral hazard friction, which results in a financial constraint. We show that ambiguity aversion not only amplifies households' incentives to delegate but also tightens the financial constraint. The calibrated model can quantitatively explain both the unconditional and time-varying moments of observed asset prices while endogenously generating an empirically consistent crisis frequency.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142442898","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A perfectly robust approach to multiperiod matching problems 多期匹配问题的完美稳健方法
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-03 DOI: 10.1016/j.jet.2024.105919
{"title":"A perfectly robust approach to multiperiod matching problems","authors":"","doi":"10.1016/j.jet.2024.105919","DOIUrl":"10.1016/j.jet.2024.105919","url":null,"abstract":"<div><div>Many two-sided matching markets involve multiperiod interaction. Traditional cooperative solutions, such as pairwise stability or the core, often identify unintuitive outcomes (or are empty) when applied to such markets. As an alternative, this study proposes the criterion of perfect <em>α</em>-stability. An outcome is perfect <em>α</em>-stable if no coalition prefers an alternative assignment in any period that is superior for all plausible market continuations. The solution posits that agents have foresight, but cautiously evaluate possible future outcomes. A perfect <em>α</em>-stable matching exists, even when assignments are inter-temporal complements. The perfect <em>α</em>-core, a stronger solution, is nonempty under standard regularity conditions, such as history independence. Our analysis extends to markets with arrivals and departures, transfers, and many-to-one assignments.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142426928","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Inventory, market making, and liquidity in OTC markets 场外市场的库存、做市商和流动性
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-02 DOI: 10.1016/j.jet.2024.105917
{"title":"Inventory, market making, and liquidity in OTC markets","authors":"","doi":"10.1016/j.jet.2024.105917","DOIUrl":"10.1016/j.jet.2024.105917","url":null,"abstract":"<div><div>We develop a search-theoretic model of a dealer-intermediated over-the-counter market. Our key departure from the literature is to assume that, when a customer meets a dealer, the dealer can sell only assets that it already owns. Hence, in equilibrium, dealers choose to hold <em>inventory</em>. We derive the equilibrium relationship between dealers' costs of holding assets on their balance sheets, their optimal inventory holdings, and various measures of liquidity, including bid-ask spreads, trade size, volume, and turnover. Using transaction-level data from the corporate bond market, we calibrate the model to quantitatively assess the impact of post-crisis regulations on dealers' inventory costs, liquidity, and welfare.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142426929","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Diffusion and targeting centrality 扩散和目标中心
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-10-01 DOI: 10.1016/j.jet.2024.105920
{"title":"Diffusion and targeting centrality","authors":"","doi":"10.1016/j.jet.2024.105920","DOIUrl":"10.1016/j.jet.2024.105920","url":null,"abstract":"<div><div>This paper studies the dynamics of information diffusion within networks, encompassing both general and targeted dissemination. We first characterize the theoretical foundations of diffusion centrality. Next, we introduce two extensions of diffusion centrality: <em>targeting centrality</em> and <em>reachability</em>, that we believe to better capture situations involving targeted requests. We derive general explicit formulas for the computation of these novel centrality measures.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142427204","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A choice-functional characterization of welfarism 福利主义的选择功能特征
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-09-26 DOI: 10.1016/j.jet.2024.105918
{"title":"A choice-functional characterization of welfarism","authors":"","doi":"10.1016/j.jet.2024.105918","DOIUrl":"10.1016/j.jet.2024.105918","url":null,"abstract":"<div><div>Welfarism is the view that individual welfare is the only thing that matters. One important contribution of social choice theory has been to provide a precise formulation and axiomatic characterization of welfarism using Amartya Sen's framework of social welfare functionals. This paper is motivated by the observation that the standard formalization of welfarism is too restrictive, since a welfarist social planner need not be committed to maximizing a preference ordering or any other binary relation over alternatives. We therefore provide a characterization of welfarism in a more general choice-functional setting and show that welfarism, so understood, carries no commitment to rationalizability. This characterization is compatible with welfare values having any structure whatsoever. It also sheds light on different formulations of anonymity, revealing only some of these to be fundamental requirements of impartiality.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142326513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Communication in the shadow of catastrophe 灾难阴影下的传播
IF 1.4 3区 经济学
Journal of Economic Theory Pub Date : 2024-09-23 DOI: 10.1016/j.jet.2024.105916
{"title":"Communication in the shadow of catastrophe","authors":"","doi":"10.1016/j.jet.2024.105916","DOIUrl":"10.1016/j.jet.2024.105916","url":null,"abstract":"<div><div>We perform distributional comparative statics in a cheap talk model of adaptation. Receiver borne adaptation costs drive a wedge between the objectives of sender and receiver that is increasing in the magnitude of adaptation. We allow for infinite supports with infinite disagreement at the extremes and compare communication to unconstrained delegation. We study increases in risk that arise from transformations of the state variable. We find that linear transformations (implying increases in variance) decrease communication and delegation payoffs but do not change their ranking. By contrast, increasing, convex transformations (implying increases in <em>tail risk</em>) decrease the communication payoff relative to the delegation payoff. Our finding extends to the comparison of distributions with thin versus heavy tails.</div></div>","PeriodicalId":48393,"journal":{"name":"Journal of Economic Theory","volume":null,"pages":null},"PeriodicalIF":1.4,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142323068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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