Search results for " expected utility"
showing 3 items of 3 documents
Measuring wage discrimination according to an expected utility approach
2012
Following on from the seminal works by Blinder (1973) and Oaxaca (1973), many methods have been proposed to measure wage discrimination against women. Some of these methods focus on the entire distribution of the discrimination experienced by each woman, underlining a common aspect of poverty and discrimination analysis: the latter two are both based on an idea of deprivation which originates from a poverty line (in the case of poverty) and from the expected wage in the absence of discrimination (in the case of wage discrimination) (Jenkins, 1994; Del Río et al., 2011). These approaches hinge on conditional-to-individual-characteristics expected wages, lacking in any focus regarding the ent…
Discrete Time Portfolio Selection with Lévy Processes
2007
This paper analyzes discrete time portfolio selection models with Lévy processes. We first implement portfolio models under the hypotheses the vector of log-returns follow or a multivariate Variance Gamma model or a Multivariate Normal Inverse Gaussian model or a Brownian Motion. In particular, we propose an ex-ante and an ex-post empirical comparisons by the point of view of different investors. Thus, we compare portfolio strategies considering different term structure scenarios and different distributional assumptions when unlimited short sales are allowed.
Negative results in the theory of games with lexicographic utilities
2003
When players may have lexicographic utilities, there are: (i) extensive games having a non-empty set of equilibria but empty sets of sequentially rational, sequential and perfect equilibria (ii) normal form games having a non-empty set of equilibria but an empty set of proper equilibria and no stable set of equilibria and (iii) two extensive games having the same normal form representation and disjoint sets of sequential equilibria.