Pub Date : 2022-03-22DOI: 10.1007/s40505-022-00218-2
S. Chakravarty, P. Sarkar
{"title":"Inequality minimising subsidy and taxation","authors":"S. Chakravarty, P. Sarkar","doi":"10.1007/s40505-022-00218-2","DOIUrl":"https://doi.org/10.1007/s40505-022-00218-2","url":null,"abstract":"","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"10 1","pages":"53 - 67"},"PeriodicalIF":0.3,"publicationDate":"2022-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48875562","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}
Pub Date : 2022-03-15DOI: 10.1007/s40505-022-00216-4
Alain Chateauneuf, Bernard Cornet
The fundamental theory of asset pricing has been developed under the two main assumptions that markets are frictionless and have no arbitrage opportunities. In this case the market enforces that replicable assets are valued by a linear function of their payoffs, or as the discounted expectation with respect to the so-called risk-neutral probability. Important evidence of the presence of frictions in financial markets has led to study market pricing rules in such a framework. Recently, Cerreia-Vioglio et al. (J Econ Theory 157:730–762, 2015) have extended the Fundamental Theorem of Finance by showing that, with markets frictions, requiring the put–call parity to hold, together with the mild assumption of translation invariance, is equivalent to the market pricing rule being represented as a discounted Choquet expectation with respect to a risk-neutral nonadditive probability. This paper continues this study by characterizing important properties of the (unique) risk-neutral nonadditive probability (v_f) associated with a Choquet pricing rule f, when it is not assumed to be subadditive. First, we show that the observed violation of the call–put parity, a condition considered by Chateauneuf et al. (Math Financ 6:323–330, 1996) similar to the put–call parity in Cerreia-Vioglio et al. (2015), is consistent with the existence of bid-ask spreads. Second, the balancedness of (v_f)—or equivalently the non-vacuity of its core—is characterized by an arbitrage-free condition that eliminates all the arbitrage opportunities that can be obtained by splitting payoffs in parts; moreover the (nonempty) core of (v_f) consists of additive probabilities below (v_f) whose associated (standard) expectations are all below the Choquet pricing rule f. Third, by strengthening again the previous arbitrage-free condition, we show the existence of a strictly positive risk-neutral probability below (v_f), which allows to recover the standard formulation of the Fundamental Theorem of Finance for frictionless markets.
{"title":"The risk-neutral non-additive probability with market frictions","authors":"Alain Chateauneuf, Bernard Cornet","doi":"10.1007/s40505-022-00216-4","DOIUrl":"https://doi.org/10.1007/s40505-022-00216-4","url":null,"abstract":"<p>The fundamental theory of asset pricing has been developed under the two main assumptions that markets are frictionless and have no arbitrage opportunities. In this case the market enforces that replicable assets are valued by a linear function of their payoffs, or as the discounted expectation with respect to the so-called risk-neutral probability. Important evidence of the presence of frictions in financial markets has led to study market pricing rules in such a framework. Recently, Cerreia-Vioglio et al. (J Econ Theory 157:730–762, 2015) have extended the Fundamental Theorem of Finance by showing that, with markets frictions, requiring the put–call parity to hold, together with the mild assumption of translation invariance, is equivalent to the market pricing rule being represented as a discounted Choquet expectation with respect to a risk-neutral nonadditive probability. This paper continues this study by characterizing important properties of the (unique) risk-neutral nonadditive probability <span>(v_f)</span> associated with a Choquet pricing rule <i>f</i>, when it is not assumed to be subadditive. First, we show that the observed violation of the call–put parity, a condition considered by Chateauneuf et al. (Math Financ 6:323–330, 1996) similar to the put–call parity in Cerreia-Vioglio et al. (2015), is consistent with the existence of bid-ask spreads. Second, the balancedness of <span>(v_f)</span>—or equivalently the non-vacuity of its core—is characterized by an arbitrage-free condition that eliminates all the arbitrage opportunities that can be obtained by splitting payoffs in parts; moreover the (nonempty) core of <span>(v_f)</span> consists of <i>additive</i> probabilities below <span>(v_f)</span> whose associated (standard) expectations are all below the Choquet pricing rule <i>f</i>. Third, by strengthening again the previous arbitrage-free condition, we show the existence of a <i>strictly positive</i> risk-neutral probability below <span>(v_f)</span>, which allows to recover the standard formulation of the Fundamental Theorem of Finance for frictionless markets.</p>","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"36 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2022-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138530765","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}
Pub Date : 2022-01-11DOI: 10.1007/s40505-021-00214-y
Kohei Daido, Tomoya Tajika
In this study, we build a two-candidate election model, in which voters are loss averse and face uncertainty about whether their preferred candidate is supported by a majority. Even without costs for voting, abstention may occur when voters have expectations-based reference-dependent preferences, as in Kőszegi and Rabin (Q J Econ 121:1133–1165, 2006; Am Econ Rev 97:1047–1073, https://doi.org/10.1257/aer.97.4.1047, 2007). We show that loss aversion leads to the equilibrium wherein abstention occurs in a large election, and the abstention rate of voters who prefer the minority candidate is higher than that of voters who prefer the majority candidate.
{"title":"Impact of Information Concerning the Popularity of Candidates on Loss-Averse Voters’ Abstention","authors":"Kohei Daido, Tomoya Tajika","doi":"10.1007/s40505-021-00214-y","DOIUrl":"https://doi.org/10.1007/s40505-021-00214-y","url":null,"abstract":"<p>In this study, we build a two-candidate election model, in which voters are loss averse and face uncertainty about whether their preferred candidate is supported by a majority. Even without costs for voting, abstention may occur when voters have expectations-based reference-dependent preferences, as in Kőszegi and Rabin (Q J Econ 121:1133–1165, 2006; Am Econ Rev 97:1047–1073, https://doi.org/10.1257/aer.97.4.1047, 2007). We show that loss aversion leads to the equilibrium wherein abstention occurs in a large election, and the abstention rate of voters who prefer the minority candidate is higher than that of voters who prefer the majority candidate.</p>","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"7 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2022-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138530718","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}
Pub Date : 2021-11-29DOI: 10.1007/s40505-021-00215-x
O. Haimanko
{"title":"Equilibrium existence in two-player contests without absolute continuity of information","authors":"O. Haimanko","doi":"10.1007/s40505-021-00215-x","DOIUrl":"https://doi.org/10.1007/s40505-021-00215-x","url":null,"abstract":"","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"10 1","pages":"27 - 39"},"PeriodicalIF":0.3,"publicationDate":"2021-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44817904","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}
Pub Date : 2021-10-01DOI: 10.1007/s40505-021-00213-z
Erya Yang
{"title":"Correction to: Reduced-form mechanism design and ex post fairness constraints","authors":"Erya Yang","doi":"10.1007/s40505-021-00213-z","DOIUrl":"https://doi.org/10.1007/s40505-021-00213-z","url":null,"abstract":"","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"9 1","pages":"295 - 296"},"PeriodicalIF":0.3,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47752380","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}
Pub Date : 2021-10-01DOI: 10.1007/s40505-021-00212-0
S. Chakravarty, P. Sarkar
{"title":"Designing income distributions with specified inequalities","authors":"S. Chakravarty, P. Sarkar","doi":"10.1007/s40505-021-00212-0","DOIUrl":"https://doi.org/10.1007/s40505-021-00212-0","url":null,"abstract":"","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"15 9","pages":"297 - 311"},"PeriodicalIF":0.3,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41299491","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}
Pub Date : 2021-09-06DOI: 10.1007/s40505-021-00206-y
Zhiwei Liu, Nicholas C. Yannelis
We extend the previous work of De Castro et al. (2017a, 2017b) into mixed strategies.
我们将De Castro等人(2017a, 2017b)的先前工作扩展为混合策略。
{"title":"Mixed strategy implementation under ambiguity","authors":"Zhiwei Liu, Nicholas C. Yannelis","doi":"10.1007/s40505-021-00206-y","DOIUrl":"https://doi.org/10.1007/s40505-021-00206-y","url":null,"abstract":"<p>We extend the previous work of De Castro et al. (2017a, 2017b) into mixed strategies.</p>","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"15 1","pages":""},"PeriodicalIF":0.3,"publicationDate":"2021-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138530768","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}
Pub Date : 2021-09-04DOI: 10.1007/s40505-021-00211-1
Erya Yang
{"title":"Reduced-form mechanism design and ex post fairness constraints","authors":"Erya Yang","doi":"10.1007/s40505-021-00211-1","DOIUrl":"https://doi.org/10.1007/s40505-021-00211-1","url":null,"abstract":"","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"9 1","pages":"269 - 293"},"PeriodicalIF":0.3,"publicationDate":"2021-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48069193","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}
Pub Date : 2021-09-03DOI: 10.1007/s40505-021-00210-2
Tomohiko Kawamori
{"title":"Core equivalence in collective-choice bargaining under minimal assumptions","authors":"Tomohiko Kawamori","doi":"10.1007/s40505-021-00210-2","DOIUrl":"https://doi.org/10.1007/s40505-021-00210-2","url":null,"abstract":"","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"9 1","pages":"259 - 267"},"PeriodicalIF":0.3,"publicationDate":"2021-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43622776","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}
Pub Date : 2021-08-21DOI: 10.1007/s40505-021-00208-w
A. Beggs
{"title":"Afriat and arbitrage","authors":"A. Beggs","doi":"10.1007/s40505-021-00208-w","DOIUrl":"https://doi.org/10.1007/s40505-021-00208-w","url":null,"abstract":"","PeriodicalId":40852,"journal":{"name":"Economic Theory Bulletin","volume":"9 1","pages":"167 - 176"},"PeriodicalIF":0.3,"publicationDate":"2021-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1007/s40505-021-00208-w","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43228284","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}
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