Analyse du comportement hétérogène des usagers dans un réseau

Le nombre important de véhicules sur le réseau routier peut entraîner des problèmes d'encombrement et de sécurité. Les usagers des réseaux routiers qui nous intéressent sont les camionneurs qui transportent des marchandises, pouvant rouler avec des véhicules non conformes ou emprunter des routes interdites pour gagner du temps. Le transport de matières dangereuses est réglementé et certains lieux, surtout les ponts et les tunnels, leur sont interdits d'accès. Pour aider à faire appliquer les lois en vigueur, il existe un système de contrôles routiers composé de structures fixes et de patrouilles mobiles. Le déploiement stratégique de ces ressources de contrôle mise sur la connaissance du comportement des camionneurs que nous allons étudier à travers l'analyse de leurs choix de routes. Un problème de choix de routes peut se modéliser en utilisant la théorie des choix discrets, elle-même fondée sur la théorie de l'utilité aléatoire. Traiter ce type de problème avec cette théorie est complexe. Les modèles que nous utiliserons sont tels, que nous serons amenés à faire face à des problèmes de corrélation, puisque plusieurs routes partagent probablement des arcs. De plus, puisque nous travaillons sur le réseau routier du Québec, le choix de routes peut se faire parmi un ensemble de routes dont le nombre est potentiellement infini si on considère celles ayant des boucles. Enfin, l'étude des choix faits par un humain n'est pas triviale. Avec l'aide du modèle de choix de routes retenu, nous pourrons calculer une expression de la probabilité qu'une route soit prise par le camionneur. Nous avons abordé cette étude du comportement en commençant par un travail de description des données collectées. Le questionnaire utilisé par les contrôleurs permet de collecter des données concernant les camionneurs, leurs véhicules et le lieu du contrôle. La description des données observées est une étape essentielle, car elle permet de présenter clairement à un analyste potentiel ce qui est accessible pour étudier les comportements des camionneurs. Les données observées lors d'un contrôle constitueront ce que nous appellerons une observation. Avec les attributs du réseau, il sera possible de modéliser le réseau routier du Québec. Une sélection de certains attributs permettra de spécifier la fonction d'utilité et par conséquent la fonction permettant de calculer les probabilités de choix de routes par un camionneur. Il devient alors possible d'étudier un comportement en se basant sur des observations. Celles provenant du terrain ne nous donnent pas suffisamment d'information actuellement et même en spécifiant bien un modèle, l'estimation des paramètres n'est pas possible. Cette dernière est basée sur la méthode du maximum de vraisemblance. Nous avons l'outil, mais il nous manque la matière première que sont les observations, pour continuer l'étude. L'idée est de poursuivre avec des observations de synthèse. Nous ferons des estimations avec des observations complètes puis, pour se rapprocher des conditions réelles, nous continuerons avec des observations partielles. Ceci constitue d'ailleurs un défi majeur. Nous proposons pour ces dernières, de nous servir des résultats des travaux de (Bierlaire et Frejinger, 2008) en les combinant avec ceux de (Fosgerau, Frejinger et Karlström, 2013). Bien qu'elles soient de nature synthétiques, les observations que nous utilisons nous mèneront à des résultats tels, que nous serons en mesure de fournir une proposition concrète qui pourrait aider à optimiser les décisions des responsables des contrôles routiers. En effet, nous avons réussi à estimer, sur le réseau réel du Québec, avec un seuil de signification de 0,05 les valeurs des paramètres d'un modèle de choix de routes discrets, même lorsque les observations sont partielles. Ces résultats donneront lieu à des recommandations sur les changements à faire dans le questionnaire permettant de collecter des données.

A Theory of Quantitative Inference Applied to a Mechanical Design Compiler

This thesis presents the ideas underlying a computer program that takes as input a schematic of a mechanical or hydraulic power transmission system, plus specifications and a utility function, and returns catalog numbers from predefined catalogs for the optimal selection of components implementing the design. Unlike programs for designing single components or systems, the program provides the designer with a high level "language" in which to compose new designs. It then performs some of the detailed design process. The process of "compilation" is based on a formalization of quantitative inferences about hierarchically organized sets of artifacts and operating conditions. This allows the design compilation without the exhaustive enumeration of alternatives.

Efectos del sistema de multifondos en el Régimen de Ahorro Individual en Colombia

Recientemente, el gobierno nacional radicó un proyecto de reforma financiera en el que se propone flexibilizar la regulación de los Fondos de Pensiones. En particular, se propone que los agentes pueden escoger la composición del portafolio en el que están invertidos sus ahorros pensionales. Para evaluar los posibles efectos de este cambio sobre el bienestar de los agentes, este trabajo analiza las decisiones de inversión de un individuo con función de utilidad con aversión absoluta al riesgo constante (CARA) frente a la Teoría de la diversificación del portafolio. Adicionalmente, se realiza un ejercicio contrafactual con el fin de calcular cual hubiera sido el valor del activo pensional para diferentes individuos si la legislación propuesta por el gobierno hubiera aplicado para el período 1980-2008. Este ejercicio se realiza utilizando información de las Bolsas de Valores de Colombia y la Encuesta de Calidad de Vida 2003 (ECV 2003), siguiendo la metodología de Herscovich (2003) los resultados del análisis teórico sugieren que ante un mayor valor acumulado en las cuentas de pensión, los individuos disminuyen su exposición ante el riesgo en sus portafolios. Así, la composición del portafolio debe estar más concentrada en renta variable para los agentes jóvenes y más concentrada en renta fija para los agentes viejos. Por otro lado, el ejercicio contrafactual, indica que la mejor decisión habría sido invertir todo el portafolio en activos de renta variable. Este contraste en los resultados llama la atención acerca de dos problemas: Primero, es posible que la estrategia que maximiza la utilidad ex-ante de los individuos no sea la misma que maximiza el valor de su pensión. Segundo, el ejercicio presentado parte del supuesto de que no hay información adicional que permita suponer cambios de tendencia o de volatilidad en las rentabilidades de los distintos activos financieros. No obstante, es claro que los especialistas en el mercado financiero cuentan con información suficiente para predecir este tipo de eventos. Por esta razón, el estudio sugiere que el papel de la asesoría financiera a los ahorradores es fundamental para permitir un cambio al sistema multifondos, puesto que el incremento en las opciones de inversión no conduce a un incremento en el bienestar de los individuos en ausencia de información. Adicionalmente, al comparar la evolución de las cuentas de pensión con los porcentajes históricos y con el sistema multifondos, se encuentra un mejor desempeño cuando el porcentaje de inversión en activos de renta variable es mayor que el actual, lo cual sugiere un incremento en la restricción actual de inversión de activos de renta variable para mejorar el desempeño de los fondos.

Poor people and risky business

We try to explain why economic conflicts and illegal business often take place in poor countries. We use the concept of subsistence level of consumption (d) and assume a regular concave utility function for consumption levels higher than d. For consumption levels lower than d utility is constant and equal to zero. Under this framework poor agents are risk-lovers. This result helps to explain why economic conflicts are more likely to appear in poor economies and why poor agents are more willing to undertake illegal business.

Unemployment insurance in the presence of an informal sector

We study the effect of UI benefits in a typical developing country where the informal sector is sizeable and persistent. In a partial equilibrium environment, ruling out the macroeconomic consequences of UI benefits, we characterize the stationary equilibrium of an economy where policyholders may be employed in the formal sector, short-run unemployed receiving UI benefits or long-run unemployed without UI benefits. We perform comparative static exercises to understand how UI benefits affect unemployed worker´s effort to secure a formal job, their labor supply in the informal sector and leisure time. Our model reveals that an increase in UI benefits generates two opposing effects for the short-run unemployed. First, since search efforts cannot be monitored it generates moral hazard behaviours that lower effort. Second, it generates an income effect as it reduces the marginal cost of searching for a formal job and increases effort.The overall effect is ambiguous and depends on the relative strength of these two effects. Additionally, we show that an increase in UI benefits increases the efforts of long-run unemployed workers. We provide a simple simulation exercise which suggests that the income effect pointed out is not necessarily of second-order importance in comparison with moral hazard strength. This result softens the widespread opinion, usually based on the microeconomic/partial equilibrium argument that the presence of dual labor markets is an obstacle to providing UI in developing countries.

Business cycle asymmetries: Loss aversion, sticky prices, and wages

In this chapter, the Smets-Wouters (2003) New Kenesian model is reformulated by introducing the loss aversion utility function developed in chapter two. The purpose of this is to understand how asymmetric real business cycles are linked to asymmetric behavior of agents in a price and wage rigidities set up. The simulations of the model reveal not only that the loss aversion in consumption and leisure is a good mechanism channel for explaining business cycle asymmetries, but also is a good mechanism channel for explaining asymmetric adjustment of prices and wages. Therefore the existence of asymmetries in Phillips Curve. Moreover, loss aversion makes downward rigidities in prices and wages stronger and also reproduces a more severe and persistent fall of the employment. All in all, this model generates asymmetrical real business cycles, asymmetric price and wage adjustment as well as hysteresis.

A DSGE model with loss aversion in consumption and leisure: an explanation for business cycles asymmetries

In this chapter, an asymmetric DSGE model is built in order to account for asymmetries in business cycles. One of the most important contributions of this work is the construction of a general utility function which nests loss aversion, risk aversion and habits formation by means of a smooth transition function. The main idea behind this asymmetric utility function is that under recession the agents over-smooth consumption and leisure choices in order to prevent a huge deviation of them from the reference level of the utility; while under boom, the agents simply smooth consumption and leisure, but trying to be as far as possible from the reference level of utility. The simulations of this model by means of Perturbations Method show that it is possible to reproduce asymmetrical business cycles where recession (on shock) are stronger than booms and booms are more long-lasting than recession. One additional and unexpected result is a downward stickiness displayed by real wages. As a consequence of this, there is a more persistent fall in employment in recession than in boom. Thus, the model reproduces not only asymmetrical business cycles but also real stickiness and hysteresis.

Action following the discovery of a global association between the whole genome and adverse event risk in a clinical drug-development programme

Observation of adverse drug reactions during drug development can cause closure of the whole programme. However, if association between the genotype and the risk of an adverse event is discovered, then it might suffice to exclude patients of certain genotypes from future recruitment. Various sequential and non-sequential procedures are available to identify an association between the whole genome, or at least a portion of it, and the incidence of adverse events. In this paper we start with a suspected association between the genotype and the risk of an adverse event and suppose that the genetic subgroups with elevated risk can be identified. Our focus is determination of whether the patients identified as being at risk should be excluded from further studies of the drug. We propose using a utility function to? determine the appropriate action, taking into account the relative costs of suffering an adverse reaction and of failing to alleviate the patient's disease. Two illustrative examples are presented, one comparing patients who suffer from an adverse event with contemporary patients who do not, and the other making use of a reference control group. We also illustrate two classification methods, LASSO and CART, for identifying patients at risk, but we stress that any appropriate classification method could be used in conjunction with the proposed utility function. Our emphasis is on determining the action to take rather than on providing definitive evidence of an association. Copyright (C) 2008 John Wiley & Sons, Ltd.

Vertex splitting and connectivity augmentation in hypergraphs

We consider problems of splitting and connectivity augmentation in hypergraphs. In a hypergraph G = (V +s, E), to split two edges su, sv, is to replace them with a single edge uv. We are interested in doing this in such a way as to preserve a defined level of connectivity in V . The splitting technique is often used as a way of adding new edges into a graph or hypergraph, so as to augment the connectivity to some prescribed level. We begin by providing a short history of work done in this area. Then several preliminary results are given in a general form so that they may be used to tackle several problems. We then analyse the hypergraphs G = (V + s, E) for which there is no split preserving the local-edge-connectivity present in V. We provide two structural theorems, one of which implies a slight extension to Mader’s classical splitting theorem. We also provide a characterisation of the hypergraphs for which there is no such “good” split and a splitting result concerned with a specialisation of the local-connectivity function. We then use our splitting results to provide an upper bound on the smallest number of size-two edges we must add to any given hypergraph to ensure that in the resulting hypergraph we have λ(x, y) ≥ r(x, y) for all x, y in V, where r is an integer valued, symmetric requirement function on V*V. This is the so called “local-edge-connectivity augmentation problem” for hypergraphs. We also provide an extension to a Theorem of Szigeti, about augmenting to satisfy a requirement r, but using hyperedges. Next, in a result born of collaborative work with Zoltán Király from Budapest, we show that the local-connectivity augmentation problem is NP-complete for hypergraphs. Lastly we concern ourselves with an augmentation problem that includes a locational constraint. The premise is that we are given a hypergraph H = (V,E) with a bipartition P = {P1, P2} of V and asked to augment it with size-two edges, so that the result is k-edge-connected, and has no new edge contained in some P(i). We consider the splitting technique and describe the obstacles that prevent us forming “good” splits. From this we deduce results about which hypergraphs have a complete Pk-split. This leads to a minimax result on the optimal number of edges required and a polynomial algorithm to provide an optimal augmentation.

Corruption and individual ethics: insights from a public procurement auction

This article proposes an auction model where two firms compete for obtaining the license for a public project and an auctioneer acting as a public official representing the political power, decides the winner of the contest. Players as firms face a social dilemma in the sense that the higher is the bribe offered, the higher would be the willingness of a pure monetary maximizer public official to give her the license. However, it implies inducing a cost of reducing all players’ payoffs as far as our model includes an endogenous externality, which depends on bribe. All players’ payoffs decrease with the bribe (and increase with higher quality). We find that the presence of bribe aversion in either the officials’ or the firms’ utility function shifts equilibrium towards more pro-social behavior. When the quality and bribe-bid strategy space is discrete, multiple equilibria emerge including more pro-social bids than would be predicted under a continuous strategy space.

A estrutura de decisão do operador de transporte de cargas pelo usuário varejista de pequeno porte

Este trabalho tem por objetivo investigar e identificar a influência dos atributos que estruturam a escolha do transportador de carga geral fracionada pelos usuários, em uma determinada rota nacional, baseado na modelagem da demanda. xii A modelagem da demanda é efetuada com base em Modelos Comportamentais Desagregados, utilizando-se as técnicas de Preferência Declarada (Stated Preference), na obtenção dos dados. A determinação das preferências dos decisores são analisadas, buscandose assim quantificar o valor das variáveis que compõem o nível de serviço desejado pelos varejistas usuários. O estudo enfoca o comportamento do varejista usuário de serviços de transporte de cargas com relação a tomada de decisão sobre a transportadora que executará o serviço de transporte de carga. Esta tomada de decisão do varejista usuário leva em consideração que cada operador valoriza os atributos em diferentes graus e que estes fazem parte do nível de serviço de cada transportadora. As técnicas de Preferência Declarada forneceram dados para estimar as funções de Utilidade levando em consideração os diferentes níveis de atributos de cada transportadora. A partir da função de Utilidade de cada transportadora, é estimada a probabilidade de escolha de cada transportadora. A modelagem permite a realização de simulações, a partir de alterações no grau dos atributos das variáveis do modelo, na qual se determinará a parcela de mercado de cada transportadora e a sua respectiva participação no mercado em estudo. Dentre os principais resultados, pode se observar que a modelagem da demanda em transporte de cargas, apesar de pouco utilizada, é coerente com a realidade analisada, validando a metodologia utilizada neste estudo.

The polictical economy informed lobbies

We analize a discrete type version of a common agency model with informed principals of Martimort and Moreira (2005) in the context of lobby games. We begin discussing issues related to the common values nature of the model, i.e.the agent cares directly about the principal’s utility function. With this feature the equilibrium of Martimort and Moreira (2005) is not valid. We argue in favor of one solution, although we are not able to fully characterize the equilibrium in this context. We then turn to an application: a modification of the Grossman and Helpman (1994) model of lobbying for tariff protection to incoporate assimetric information (but disconsidering the problem of common values) in the lobbies objective function. We show that the main results of the original model do not hold and that lobbies may behave less agressively towards the police maker when there is private information in the lobbies valuation for the tariffs.

Equity-premium puzzle: evidence from Brazilian data

This paper uses 1992:1-2004:2 quarterly data and two di§erent methods (approximation under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in Brazil. In contrast with some previous works in the Brazilian literature, I conclude that the model used by Mehra and Prescott (1985), either with additive or recursive preferences, is not able to satisfactorily rationalize the equity premium observed in the Brazilian data. The second contribution of the paper is calling the attention to the fact that the utility function may not exist if the data (as it is the case with Brazilian time series) implies the existence of states in which high negative rates of consumption growth are attained with relatively high probability.

A CAPM with higher moments: theory and econometrics

We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussed

Assorted topics in monetary economics

Esta tese é uma coleção de quatro artigos em economia monetária escritos sob a supervisão do Professor Rubens Penha Cysne. O primeiro desses artigos calcula o viés presente em medidas do custo de bem-estar da inflação devido a não se levar em conta o potencial substitutivo de moedas que rendem juros, como depósitos bancários.[1] O segundo se concentra na questão teórica de se comparar os escopos dos tradicionais modelos money-in-the-utility-function e shopping-time através do estudo das propriedades das curvas de demanda que eles geram.[2] O terceiro desses trabalhos revisita um artigo clássico de Stanley Fischer sobre a correlação entre a taxa de crescimento da oferta monetária e a taxa de acumulação de capital no caminho de transição.[3] Finalmente, o quarto diz respeito à posição relativa de cada uma de seis medidas do custo de bem-estar da inflação (uma das quais é nova) em relação às outras cinco, e uma estimativa do erro relativo máximo em que o pesquisador pode incorrer devido a sua escolha de empregar uma dessas medidas qualquer vis-à-vis as outras.[4] This thesis collects four papers on monetary economics written under the supervision of Professor Rubens Penha Cysne. The first of these papers assesses the bias occuring in welfare-cost-of-inflation measures due to failing to take into consideration the substitution potential of interest-bearing monies such as bank deposits.[1] The second one tackles the theoretical issue of comparing the generality of the money-in-the-utility-function- and the shopping-time models by studying the properties of the demand curves they generate.[2] The third of these works revisits a classic paper by Stanley Fischer on the correlation between the growth rate of money supply and the rate of capital accumulation on the transition path.[3] Finally, the fourth one concerns the relative standing of each one of six measures of the welfare cost of inflation (one of which is new) with respect to the other five, and an estimate of the maximum relative error one can incur by choosing to employ a particular welfare measure in place of the others.[4] [1] Cysne, R.P., Turchick, D., 2010. Welfare costs of inflation when interest-bearing deposits are disregarded: A calculation of the bias. Journal of Economic Dynamics and Control 34, 1015-1030. [2] Cysne, R.P., Turchick, D., 2009. On the integrability of money-demand functions by the Sidrauski and the shopping-time models. Journal of Banking & Finance 33, 1555-1562. [3] Cysne, R.P., Turchick, D., 2010. Money supply and capital accumulation on the transition path revisited. Journal of Money, Credit and Banking 42, 1173-1184. [4] Cysne, R.P., Turchick, D., 2011. An ordering of measures of the welfare cost of inflation in economies with interest-bearing deposits. Macroeconomic Dynamics, forthcoming.