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    Characterization of variation averse preferences by present value
    (Elsevier Science Sa, 2020) Keskin, Umut
    This paper uses Gilboa's (1989) variation aversion model to examine additive separability in intertemporal decision models. We present a characterization of this model using present values and based on this characterization, we argue that additive separability may not necessarily be rational in some settings. Our method also has the advantage that it allows for testing models by using econometric techniques. (c) 2020 Elsevier B.V. All rights reserved.
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    Discounted Utility and Present Value-A Close Relation
    (Informs, 2015) Bleichrodt, Han; Keskin, Umut; Rohde, Kirsten I. M.; Spinu, Vitalie; Wakker, Peter
    We introduce a new type of preference condition for intertemporal choice, which requires present values to be independent of various other variables. The new conditions are more concise and more transparent than traditional ones. They are directly related to applications because present values are widely used tools in intertemporal choice. Our conditions give more general behavioral axiomatizations, which facilitate normative debates and empirical tests of time inconsistencies and related phenomena. Like other preference conditions, our conditions can be tested qualitatively. Unlike other preference conditions, our conditions can also be directly tested quantitatively, and we can verify the required independence of present values from predictors in regressions. We show how similar types of preference conditions, imposing independence conditions between directly observable quantities, can be developed for decision contexts other than intertemporal choice and can simplify behavioral axiomatizations there. Our preference conditions are especially efficient if several types of aggregation are relevant because we can handle them in one stroke. We thus give an efficient axiomatization of a market pricing system that is (i) arbitrage-free for hedging uncertainties and (ii) time consistent.
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    Monotonicity violations under plurality with a runoff: the case of French presidential elections
    (Springer Science and Business Media Deutschland GmbH, 2022-08) Keskin, Umut; Sanver, M.Remzi
    Abstract: A voting rule is monotonic if a winning candidate never becomes a loser by being raised in voters’ rankings of candidates, ceteris paribus. Plurality with a runoff is known to fail monotonicity. To see how widespread this failure is, we focus on French presidential elections since 1965. We identify mathematical conditions that allow a logically conceivable scenario of vote shifts between candidates that may lead to a monotonicity violation. We show that eight among the ten elections held since 1965 (those in 1965 and 1974 being the exceptions) exhibit this theoretical vulnerability. To be sure, the conceived scenario of vote shifts that enables a monotonicity violation may not be plausible under the political context of the considered election. Thus, we analyze the political landscape of these eight elections and argue that for two of them (2002 and 2007 elections), the monotonicity violation scenario was plausible within the conjuncture of the time. © 2022, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.
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    Recovering non-monotonicity problems of voting rules
    (Springer, 2021) Keskin, Umut; Sanver, M. Remzi; Tosunlu, H. Berkay
    A social choice rule (SCR) is monotonic if raising a single alternative in voters' preferences while leaving the rankings otherwise unchanged is never detrimental to the prospects for winning of the raised alternative. Monotonicity is rather weak but well-known to discriminate against scoring elimination rules, such as plurality with a run off and single transferable vote. We define the minimal monotonic extension of an SCR as its unique monotonic supercorrespondence that is minimal with respect to set inclusion. After showing the existence of the concept, we characterize, for every non-monotonic SCR, the alternatives that its minimal monotonic extension must contain. As minimal monotonic extensions can entail coarse SCRs, we address the possibility of refining them without violating monotonicity provided that this refinement does not diverge from the original SCR more than the divergence prescribed by the minimal monotonic extension itself. We call these refinements monotonic adjustments and identify conditions over SCRs that ensure unique monotonic adjustments that are minimal with respect to set inclusion. As an application of our general findings, we consider plurality with a runoff, characterize its minimal monotonic extension as well as its (unique) minimal monotonic adjustment. Interestingly, this adjustment is not coarser than plurality with a runoff itself, hence we suggest it as a monotonic substitute to plurality with a runoff.
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    The Effect of Learning on Ambiguity Attitudes
    (Informs, 2018) Baillon, Aurelien; Bleichrodt, Han; Keskin, Umut; l'Haridon, Olivier; Li, Chen
    This paper studies the effect of learning information on people's attitudes toward ambiguity. We propose a method to separate ambiguity attitudes from subjective probabilities and to decompose ambiguity attitudes into two components. Under models like prospect theory that represent ambiguity through nonadditive decision weights, these components reflect pessimism and likelihood insensitivity. Under multiple priors models, they reflect ambiguity aversion and perceived ambiguity. We apply our method in an experiment where we elicit the ask prices of options with payoffs depending on the returns of initial public offerings (IPOs) on the New York Stock Exchange. IPOs are a natural context to study the effect of learning, as prior information about their returns is unavailable. Subjects perceived substantial ambiguity and they were insensitive to likelihood information. We observed only little pessimism and ambiguity aversion. Subjective probabilities were well calibrated and close to the true frequencies. Subjects' behavior moved toward expected utility with more information, but substantial deviations remained even in the maximum information condition.