11 resultados para Efficient Frontier

em Université de Montréal, Canada


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We analyze collective choice procedures with respect to their rationalizability by means of profiles of individual preference orderings. A selection function is a generalization of a choice function where selected alternatives may depend on a reference (or status quo) alternative in addition to the set of feasible options. Given the number of agents n, a selection function satisfies efficient and non-deteriorating n-rationalizability if there exists a profile of n orderings on the universal set of alternatives such that the selected alternatives are (i) efficient for that profile, and (ii) at least as good as the reference option according to each individual preference. We analyze efficient and non-deteriorating collective choice in a general abstract framework and provide a characterization result given a universal set domain.

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In a linear production model, we characterize the class of efficient and strategy-proof allocation functions, and the class of efficient and coalition strategy-proof allocation functions. In the former class, requiring equal treatment of equals allows us to identify a unique allocation function. This function is also the unique member of the latter class which satisfies uniform treatment of uniforms.

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We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg and Stock (1996) (ERS). Following Perron (1989), we consider two models : one allowing for a change in slope and the other for both a change in intercept and slope. We derive the asymptotic distribution of the tests as well as that of the feasible point optimal tests PT(GLS) suggested by ERS. The asymptotic critical values of the tests are tabulated. Also, we compute the non-centrality parameter used for the local GLS detrending that permits the tests to have 50% asymptotic power at that value. We show that the M(GLS) and PT(GLS) tests have an asymptotic power function close to the power envelope. An extensive simulation study analyzes the size and power in finite samples under various methods to select the truncation lag for the autoregressive spectral density estimator. An empirical application is also provided.

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We study the assignment of indivisible objects with quotas (houses, jobs, or offices) to a set of agents (students, job applicants, or professors). Each agent receives at most one object and monetary compensations are not possible. We characterize efficient priority rules by efficiency, strategy-proofness, and reallocation-consistency. Such a rule respects an acyclical priority structure and the allocations can be determined using the deferred acceptance algorithm.

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Affiliation: Zhujun Ao, Éric Cohen & Xiaojian Yao : Département de microbiologie et immunologie, Faculté de Médecine, Université de Montréal

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Uncertainties as to future supply costs of nonrenewable natural resources, such as oil and gas, raise the issue of the choice of supply sources. In a perfectly deterministic world, an efficient use of multiple sources of supply requires that any given market exhausts the supply it can draw from a low cost source before moving on to a higher cost one; supply sources should be exploited in strict sequence of increasing marginal cost, with a high cost source being left untouched as long as a less costly source is available. We find that this may not be the efficient thing to do in a stochastic world. We show that there exist conditions under which it can be efficient to use a risky supply source in order to conserve a cheaper non risky source. The benefit of doing this comes from the fact that it leaves open the possibility of using it instead of the risky source in the event the latter’s future cost conditions suddenly deteriorate. There are also conditions under which it will be efficient to use a more costly non risky source while a less costly risky source is still available. The reason is that this conserves the less costly risky source in order to use it in the event of a possible future drop in its cost.

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The attached file is created with Scientific Workplace Latex

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Cette thèse s'inscrit dans le cadre de l'harmonisation des langues africaines transfrontalières à tradition écrite émergente au moyen des Technologies de l’information et de la communication.

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The first two articles build procedures to simulate vector of univariate states and estimate parameters in nonlinear and non Gaussian state space models. We propose state space speci fications that offer more flexibility in modeling dynamic relationship with latent variables. Our procedures are extension of the HESSIAN method of McCausland[2012]. Thus, they use approximation of the posterior density of the vector of states that allow to : simulate directly from the state vector posterior distribution, to simulate the states vector in one bloc and jointly with the vector of parameters, and to not allow data augmentation. These properties allow to build posterior simulators with very high relative numerical efficiency. Generic, they open a new path in nonlinear and non Gaussian state space analysis with limited contribution of the modeler. The third article is an essay in commodity market analysis. Private firms coexist with farmers' cooperatives in commodity markets in subsaharan african countries. The private firms have the biggest market share while some theoretical models predict they disappearance once confronted to farmers cooperatives. Elsewhere, some empirical studies and observations link cooperative incidence in a region with interpersonal trust, and thus to farmers trust toward cooperatives. We propose a model that sustain these empirical facts. A model where the cooperative reputation is a leading factor determining the market equilibrium of a price competition between a cooperative and a private firm