Loading

Error: Cannot Load Popup Box

Hit List

Title:

SEQUENTIAL TWO-PLAYER GAMES WITH AMBIGUITY

Description:

If players' beliefs are strictly nonadditive, the Dempster-Shafer updating rule can be used to define beliefs off the equilibrium path. We define an equilibrium concept in sequential two-person games where players update their beliefs with the Dempster-Shafer updating rule. We show that in the limit as uncertainty tends to zero, our equilibrium ...

If players' beliefs are strictly nonadditive, the Dempster-Shafer updating rule can be used to define beliefs off the equilibrium path. We define an equilibrium concept in sequential two-person games where players update their beliefs with the Dempster-Shafer updating rule. We show that in the limit as uncertainty tends to zero, our equilibrium approximates Bayesian Nash equilibrium. We argue that our equilibrium can be used to define a refinement of Bayesian Nash equilibrium by imposing context-dependent constraints on beliefs under uncertainty. Copyright 2004 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association. Minimize

Document Type:

article

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Bank Capital, Liquidity, and Systemic Risk

Description:

We analyze the impact of capital adequacy regulation on bank insolvency and aggregate investment. We develop a model of the banking system that is characterized by the interaction of many heterogeneous banks with the real sector, interbank credit relations as a consequence of bank liquidity management, and an insolvency mechanism. This allows us...

We analyze the impact of capital adequacy regulation on bank insolvency and aggregate investment. We develop a model of the banking system that is characterized by the interaction of many heterogeneous banks with the real sector, interbank credit relations as a consequence of bank liquidity management, and an insolvency mechanism. This allows us to study the impact of capital adequacy regulation on systemic risk. In particular we can analyze the impact of regulation on contagious defaults arising from mutual credit relations. We show that the impact of capital adequacy on systemic stability is ambiguous and that systemic risk might actually increase as a consequence of imposing capital constraints on banks. (JEL: G21, G28, E44) Copyright (c) 2005 The European Economic Association. Minimize

Document Type:

article

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Are the treasures of game theory ambiguous?

Description:

Ambiguity, Coordination games, Experiments, Traveller’s dilemma, Matching pennies, Optimism, C72, D81

Ambiguity, Coordination games, Experiments, Traveller’s dilemma, Matching pennies, Optimism, C72, D81 Minimize

Document Type:

article

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Bank Capital, Liquidity and Systemic Risk

Description:

We analyze the impact of capital adequacy regulation on bank insolvency and aggregate investment. We develop a model of the banking system that is characterized by the interaction of many heterogeneous banks with the real sector, interbank credit relations as a consequence of bank liquidity management and an insolvency mechanism. This allows us ...

We analyze the impact of capital adequacy regulation on bank insolvency and aggregate investment. We develop a model of the banking system that is characterized by the interaction of many heterogeneous banks with the real sector, interbank credit relations as a consequence of bank liquidity management and an insolvency mechanism. This allows us to study the impact of capital adequacy regulation on systemic risk. In particular we can analyze the impact of regulation on contagious defaults arising from mutual credit relations. We show that the impact of capital adequacy on systemic stability is ambiguous and that systemic risk might actually increase as a consequence of imposing capital constraints on banks. Furthermore we analyze the indirect consequences of capital adequacy regulation that are transmitted to the real economy by their impact on equilibrium interbank rates and thus the opportunity costs of liquidity within the banking system. JEL classification: G21, G28, E44. ; Capital Adequacy, Systemic Risk, Banking Regulation, Financial Stability Minimize

Document Type:

preprint

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Ambiguity

Description:

Ambiguity refers to a decision situation under uncertainty when there is incomplete information about the likelihood of events. Different formal models of this notion have been developed with differing implications about the representation of ambiguity and ambiguity aversion. ; uncertainty, ambiguity, ambiguity attitude

Ambiguity refers to a decision situation under uncertainty when there is incomplete information about the likelihood of events. Different formal models of this notion have been developed with differing implications about the representation of ambiguity and ambiguity aversion. ; uncertainty, ambiguity, ambiguity attitude Minimize

Document Type:

preprint

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Liquidity and Ambiguity: Banks or Asset Markets?

Description:

We study the impact of ambiguity on two alternative institutions of financial intermediation in an economy where consumers face uncertain liquidity needs. The ambiguity the consumers experience is modeled by the degree of confidence in their additive beliefs. We analyze the optimal liquidity allocation and two institutional settings for implemen...

We study the impact of ambiguity on two alternative institutions of financial intermediation in an economy where consumers face uncertain liquidity needs. The ambiguity the consumers experience is modeled by the degree of confidence in their additive beliefs. We analyze the optimal liquidity allocation and two institutional settings for implementing this allocation: a secondary asset market and a bank deposit contract. For full confidence we obtain the well-known result that consumers prefer the bank deposit contract over the asset market, since the former can provide the optimal cross subsidy for consumers with high liquidity needs. With increasing ambiguity this preference will be reversed: the asset market is preferred, since it avoids inefficient liquidation if the bank reserve holdings turn out to be suboptimal. ; Financial institutions, Liquidity, Ambiguity, Choquet Expected Utility. Minimize

Document Type:

preprint

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Multiple Priors as Similarity Weighted Frequencies

Description:

In this paper, we consider a decision-maker who tries to learn the distribution of outcomes from previously observed cases. For each observed sequence of cases the decision-maker predicts a set of priors expressing his beliefs about the underlying probability distribution. We impose a version of the concatenation axiom introduced in BILLOT, GILB...

In this paper, we consider a decision-maker who tries to learn the distribution of outcomes from previously observed cases. For each observed sequence of cases the decision-maker predicts a set of priors expressing his beliefs about the underlying probability distribution. We impose a version of the concatenation axiom introduced in BILLOT, GILBOA, SAMET AND SCHMEIDLER (2005) which insures that the sets of priors can be represented as a weighted sum of the observed frequencies of cases. The weights are the uniquely determined similarities between the observed cases and the case under investigation. Minimize

Document Type:

preprint

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Least Unmatched Price Auctions: A First Approach

Author:

Description:

Least-Unmatched Price Auctions have become a popular format of TV and radio shows. Increasingly, they are also applied in internet trading. In these auctions the lowest single (unique) bid wins. We analyze the game-theoretic solution of least unmatched price auctions when prize, bidding cost and the number of participants are known. We use a lar...

Least-Unmatched Price Auctions have become a popular format of TV and radio shows. Increasingly, they are also applied in internet trading. In these auctions the lowest single (unique) bid wins. We analyze the game-theoretic solution of least unmatched price auctions when prize, bidding cost and the number of participants are known. We use a large data-set of such auctions in order to contrast actual behavior of players with game-theoretic predictions. In the aggregate, bidding behaviour seems to conform with a Nash equilibrium in mixed strategies. ; games, experiments Minimize

Document Type:

preprint

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

Are the Treasures of Game Theory Ambiguous?

Description:

Goeree & Holt (2001) observe that, for some parameter values, Nash equilibrium provides good predictions for actual behaviour in experiments. For other payoff parameters, however, actual behaviour deviates consistently from that predicted by Nash equilibria. They attribute the robust deviations from Nash equilibrium to actual players’ considerin...

Goeree & Holt (2001) observe that, for some parameter values, Nash equilibrium provides good predictions for actual behaviour in experiments. For other payoff parameters, however, actual behaviour deviates consistently from that predicted by Nash equilibria. They attribute the robust deviations from Nash equilibrium to actual players’ considering not only marginal gains and losses but also total pay-offs. In this paper, we show that optimistic and pessimistic attitudes towards strategic ambiguity may induce such behaviour. ; Ambiguity, coordination games, experiments, traveller’s dilemma, matching pennies, optimism Minimize

Document Type:

preprint

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Title:

E-Capacities and the Ellsberg Paradox

Description:

Ellsberg paradox, Uncertainty aversion, Choquet integral, Non-additive probabilities

Ellsberg paradox, Uncertainty aversion, Choquet integral, Non-additive probabilities Minimize

Document Type:

article

URL:

Content Provider:

My Lists:

My Tags:

Notes:

Currently in BASE: 71,574,639 Documents of 3,436 Content Sources

http://www.base-search.net