Stress testing a complement of value-a-risk.

Rapport de stage (maîtrise en finance mathématique et computationnelle)

Fair Production and Allocation of an Excludable Nonrival Good

We study fairness in economies with one private good and one partially excludable nonrival good. A social ordering function determines for each profile of preferences an ordering of all conceivable allocations. We propose the following Free Lunch Aversion condition: if the private good contributions of two agents consuming the same quantity of the nonrival good have opposite signs, reducing that gap improves social welfare. This condition, combined with the more standard requirements of Unanimous Indifference and Responsiveness, delivers a form of welfare egalitarianism in which an agent's welfare at an allocation is measured by the quantity of the nonrival good that, consumed at no cost, would leave her indifferent to the bundle she is assigned.

The Transformation Problem : an Aleternative Solution with an Identical Aggregate Profit Rate in the Labor value and the Monetary Space.

The aim of this paper is to demonstrate that, even if Marx's solution to the transformation problem can be modified, his basic conclusions remain valid. the proposed alternative solution which is presented hare is based on the constraint of a common general profit rate in both spaces and a money wage level which will be determined simultaneously with prices.

Population Ethics and the Value of Life

Public policies often involve choices of alternatives in which the size and the composition of the population may vary. Examples are the allocation of resources to prenatal care and the design of aid packages to developing countries. In order to assess the corresponding feasible choices on normative grounds, criteria for social evaluation that are capable of performing variable-population comparisons are required. We review several important axioms for welfarist population principles and discuss the link between individual well-being and the desirability of adding a new person to a given society.

Fair Allocation of Production Externalities: Recent Results

We survey recent axiomatic results in the theory of cost-sharing. In this litterature, a method computes the individual cost shares assigned to the users of a facility for any profile of demands and any monotonic cost function. We discuss two theories taking radically different views of the asymmetries of the cost function. In the full responsibility theory, each agent is accountable for the part of the costs that can be unambiguously separated and attributed to her own demand. In the partial responsibility theory, the asymmetries of the cost function have no bearing on individual cost shares, only the differences in demand levels matter. We describe several invariance and monotonicity properties that reflect both normative and strategic concerns. We uncover a number of logical trade-offs between our axioms, and derive axiomatic characterizations of a handful of intuitive methods: in the full responsibility approach, the Shapley-Shubik, Aumann-Shapley, and subsidyfree serial methods, and in the partial responsibility approach, the cross-subsidizing serial method and the family of quasi-proportional methods.

The Transformation Problem : an Aleternative Solution with an Identical Aggregate Profit Rate in the Labor value and the Monetary Space.

The aim of this paper is to demonstrate that, even if Marx's solution to the transformation problem can be modified, his basic conclusions remain valid. the proposed alternative solution which is presented hare is based on the constraint of a common general profit rate in both spaces and a money wage level which will be determined simultaneously with prices.

Externalities, Potential, Value and Consistency

We provide new characterization results for the value of games in partition function form. In particular, we use the potential of a game to define the value. We also provide a characterization of the class of values which satisfies one form of reduced game consistency.

Rationality, External Norms and the Epistemic Value of Menus

Ever since Sen’s (1993; 1997) criticism on the notion of internal consistency or menu independence of choice, there exists a widespread perception that the standard revealed preference approach to the theory of rational choice has difficulties in coping with the existence of external norms, or the information a menu of choice might convey to a decision-maker, viz., the epistemic value of a menu. This paper provides a brief survey of possible responses to these criticisms of traditional rational choice theory. It is shown that a novel concept of norm-conditional rationalizability can neatly accommodate external norms within the standard framework of rationalizability theory. Furthermore, we illustrate that there are several ways of incorporating considerations regarding the epistemic value of opportunity sets into a generalized model of rational choice theory.

Paying for Higher Education: Are Top-Up Fees Fair?

This paper considers four institutional models for funding higher education in the light of principles of fairness and meritocracy, with particular reference to the debate in the UK over ‘top-up fees’. It concludes that, under certain plausible but unproven assumptions, the model the UK government has adopted is fairer and more meritocratic than alternatives, including, surprisingly, the Graduate Tax.

Equality and Value-holism

Dans cet article je considère un récent défi à l’égalitarisme développé par Michael Huemer. Le challenge de Huemer prend la forme d’un dilemme : les égalitaristes peuvent être soit atomistes soit holistes en ce qui concerne la valeur de l’égalité. S’ils sont atomistes, alors ils doivent acceptés que l’égalité n’ait pas de valeur intrinsèque ; s’ils sont holistes, alors leur point ce vue est inconsistant avec une intuitive mais très plausible forme de conséquentialisme. Je montre que ce dilemme ne doit pas perturber les égalitaristes. Ils peuvent être holistes en ce qui concerne la valeur et adhérer en même temps au conséqeuntialisme.