Being relatively young, the Swedish video game industry has experienced explosive growth in recent years, surpassing several traditional industries. Exemplified by the purchase of King for approximately three times the price of Volvo, and the fact that one in ten people on the planet has played a Swedish video game. This development notwithstanding, the industry remains academically unexplored, suffering high rates of failure among new businesses, and for many companies, access to capital is problematic. In many ways a unique industry; Reversing traditional business models. involving the community, their customers, during pre-, mid- and post-production combined with companies being born global. Therefore, traditional tools for financial analysis, such as profitability ratios, are proving insufficient and the industry is perceived as a risky investment. The study analyzes the underlying variables of such ratios, from the perspectives of uncertainty and risk as well as accounting, considering the unique characteristics of the Swedish video game industry; Providing guidelines for better utilization of the ratios. The authors establish a solid foundation for future studies on the topic and provide investors with useful tools to increase their knowledge of the industry. The findings indicate that due to the abstract nature of the industry, stemming from assets and value creation, financial ratios should be used in tandem with a uncertainty and risk assessment of certain key areas of the industry.

We analyze the policy implications of aversion to Knightian uncertainty (ambiguity) about the possibility of tipping points. We demonstrate two channels through which uncertainty aversion affects optimal policy in the general setting. The first channel relates to the policy's effect on the probability of tipping, and the second channel to its differential impact in the pre- and post-tipping regimes. We then extend a recursive dynamic model of climate policy and tipping points to include uncertainty aversion. Numerically, aversion to Knightian uncertainty in the face of an ambiguous tipping point increases the optimal tax on carbon dioxide emissions, but only by a small amount.

自1970年代起, 就有財務經濟學家注意到一現象的存在: 一國的投資者所持有的外國資產占其所擁有的財富的比例, 與理論上所得的比例相較之下, 小了許多. 也就是, 投資者所持有的資產仍集中於國內資產. 這一現象稱為"本國偏向". 本文的主要目的是希望能夠為 "本國偏向" 的現象,提出理論上的可能解釋. 我們藉由在模型中導入Knightian 不確定性下, 投資者對報酬分配不確定厭惡, 探討投資者國際資產選擇行為. 我們得到了在Knightian 不確定性下, 投資者所持有的外國風險性資產的比例確有偏低的傾向.又若國際資本市場的訊息不對稱, 而造成投資者對於本國資本市場的報酬分配不確定程度, 異於對外國資本市場的報酬分配不確定程度時, 投資者會因對外國資本市場的報酬分配不確定程度較高, 而再降低外國風險性資產的持有比例.由所得結果, 可以發現投資者在估計風險性資產的可能報酬的機率分配時, 所產生的不確定性, 很有可能是迼成投資在做國際資產選擇時, 仍將大部份的財富集中於國內的資本市場的原因之一. 這提供了在未來探討 "本國偏向" 現象時, 一個可以參考的方向. / This paper studies the "home bias" puzzle. With homw bias, domestic investors hold a substantially larger proportion of thier wealth portfolios in domestic assets than standard portfolio theory. In the absence of th home bias, investors would optimally diversify away domestic output risk. We suggest that decision-makers do not have full knowledge of the probabilities of the state fo nature. Using a partial equilibrium representiative agent model, we show how the agent allocates his wealth by the presence of Knightian uncertainty. Under some conditions, we derive and simulate the patterns of diversification for agent who maximizes expected utility and simultaneously minimizes uncertainty of probability, attaching less weight to foreign risky assets. Consequently, we argue that the presence of Knightian uncertainty should be added to the explanatory factors that account for the observed diversification patterns.

Cette dissertation traite des trois thématiques suivantes : incertitude, fonctions d’utilité et non-arbitrage. Dans le premier chapitre, nous supposons qu’il n’y a pas d’incertitude sur les croyances et établissons l’existence d’un portefeuille optimal pour un investisseur qui opère dans un marché financier multi-période à temps discret et maximise son espérance terminale d’utilité. Nous considérons des fonctions d’utilité aléatoires non concaves, non continues définies sur l’axe réel positif. La preuve repose sur de la programmation dynamique et des outils de théorie de la mesure.Dans les trois chapitres suivant nous introduisons le concept d’incertitude knightienne et adoptons le modèle de marché financier multi-période à temps discret avec croyances multiples non dominées introduit par B. Bouchard and M. Nutz (Arbitrage and duality in nondominated discrete-time models)Dans le second chapitre, nous étudions la notion de non-arbitrage quasi-sûre introduite par B. Bouchard and M. Nutz (Arbitrage and duality in nondominated discrete-time models) et en proposons deux formulations équivalentes: une version quantitative et une version géométrique. Nous proposons aussi une condition forte de non-arbitrage afin de simplifier des difficultés techniques.Nous utilisons ces résultats dans le troisième chapitre pour résoudre le problème de la maximisation d’espérance d’utilité sous la plus défavorable des croyances pour des fonctions d’utilité concaves, définies sur l’axe positif réel non-bornées. La preuve utilise à nouveau de la programmation dynamique et des techniques de sélection mesurable.Finalement, dans le dernier chapitre, nous développons un modèle de d’évaluation par indifférence d’utilité et démontrons que sous de bonnes conditions, le prix d’indifférence d’un actif contingent converge vers son prix de sur réplication. / This dissertation evolves around the following three general thematic: uncertainty, utility and no-arbitrage.In the first chapter we establish the existence of an optimal portfolio for investor trading in a multi-period and discrete-time financial market without uncertainty and maximising its terminal wealth expected utility. We consider general non-concave and non-smooth random utility function defined on the half real-line. The proof is based on dynamic programming and measure theory tools.In the next three chapters, we introduce the concept of Knightian uncertainty and adopt the multi-prior non dominated and discrete time framework introduced in [25]..In this setting, in the second chapter we study the notion of quasi-sure no-arbitrage introduced in [25] and propose two equivalent definitions: a quantitative and geometric characterisation. We also introduce a stronger no-arbitrage condition that simplifies some of the measurability difficulties.In the third chapter, we build on the results obtained in the previous chapter to study the maximisation of multiple-priors non-dominated worst-case expected utility for investors trading in a multi-period and discrete-time financial for general concave utility functions defined on the half-real line unbounded from above. The proof uses again a dynamic programming framework together with measurable selection.Finally the last chapter formulates a utility indifference pricing model for investor trading in a multi-period and discrete-time financial market. We prove that under suitable condition the multiples-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price

Cette thèse se positionne au croisement de la théorie de la décision en univers incertain et de la théorie des choix d’investissements irréversibles (options réelles). Elle poursuit trois objectifs principaux :1. Tout d’abord, elle s’inscrit dans un courant de recherche dynamique, notamment en économie et en finance, qui vise à modéliser l’impact de l’ambigüité à laquelle des décideurs sont parfois confrontés lorsqu’ils contemplent des choix aux conséquences irréversibles. 2. Ensuite, elle met l’accent sur la persistance de fortes controverses théoriques portant sur les fondements axiomatiques des modèles de décision face à l’ambigüité. Aussi, nous proposons d’utiliser certaines propriétés des modèles non linéaires pour aborder sous un angle original la représentation de l’ambigüité et des préférences des individus face à celle-ci. En particulier, nous suggérons de ne pas restreindre a priori la nature des préférences individuelles face à l’ambigüité. Pour cela, nous adoptons les fondements de l’approche de Choquet, à savoir tout particulièrement l’emploi de capacités (probabilités non additives) pour pondérer les différentes alternatives ambigües. Tout en proposant ce processus stochastique ambigu, dit Choquet-Brownien, nous soulignons les conditions de l’inévitable arbitrage entre réalisme des hypothèses et souplesse d’utilisation du modèle. D’un point de vue axiomatique, une attention particulière est portée au respect de la cohérence dynamique.3. Enfin, cette thèse vise à encourager une prise en considération plus ambitieuse des sources d’incertitude dans le cadre des options réelles. Alors qu’ils sont présentés comme des outils privilégiés pour affronter le risque, les modèles d’options réelles ont certainement beaucoup à gagner à s’enrichir par la prise en compte également de l’ambigüité. En effet, alors que le risque est largement discuté dans la littérature des options réelles, l’impact de l’ambigüité est très largement ignoré. / The need to elaborate innovative methods to analyze risk and uncertainty has become increasingly obvious over the last decades, especially due the growing perception of the multiplicity of social and economical issues characterized by the weight of uncertainty (natural disasters, ecological risk, financial crises…).This thesis is at the crossroad between decision theory under uncertainty and the irreversible investment theory (real options). Consequently, the main goal of this thesis is three-fold: 1. First, it contributes to the dynamic stream of literature in economics and finance that models the impact of ambiguity that individuals may often face and/or perceive when contemplating irreversible choices.2. Next, this thesis emphasizes that even with the plethora of decision models already dealing with uncertainty, elaborating sound axiomatic foundations largely remains an open question. This leads us to recommending the use of non linear models (such as multiple-priors, Choquet expected utility, robust control, smooth ambiguity), which in turn raises many challenging theoretical and practical obstacles. We explore original ways of addressing some of these issues and suggest the construction of ambiguous stochastic processes in a Choquet expected utility framework (that are called Choquet-Brownian motions): ambiguity preferences are thereby directly embedded into the trajectory of some random variables that may drive a decision, such as the expected cash flows of an investment project or its exit value.3. Finally, this thesis also aims specifically at encouraging the enrichment of real option models. It is striking that only the impact of risk has been widely discussed by the real option theory so far, while the specific impact of ambiguity has been largely ignored. Considering that the real option theory is directly concerned with sources of flexibility, irreversibility and uncertainty in general, ambiguity represents a promising expansion.

The theoretical study of nonlinear expectations is the focus of attention for applications in a variety of different fields — often with the objective to model systems under incomplete information. Especially in mathematical finance, advances in the theory of sublinear expectations (also referred to as coherent risk measures) lay the theoretical foundation for modern approaches to evaluations under the presence of Knightian uncertainty. In this book, we introduce and study a large class of jump-type processes for sublinear expectations, which can be interpreted as Lévy-type processes under uncertainty in their characteristics. Moreover, we establish an existence and uniqueness theory for related nonlinear, nonlocal Hamilton-Jacobi-Bellman equations with non-dominated jump terms.

The theoretical study of nonlinear expectations is the focus of attention for applications in a variety of different fields — often with the objective to model systems under incomplete information. Especially in mathematical finance, advances in the theory of sublinear expectations (also referred to as coherent risk measures) lay the theoretical foundation for modern approaches to evaluations under the presence of Knightian uncertainty. In this book, we introduce and study a large class of jump-type processes for sublinear expectations, which can be interpreted as Lévy-type processes under uncertainty in their characteristics. Moreover, we establish an existence and uniqueness theory for related nonlinear, nonlocal Hamilton-Jacobi-Bellman equations with non-dominated jump terms.

本文分成兩個部分探討失業者的工作搜尋決策，第一部分利用遞延選擇權模型模擬市場景氣、預期工作機會出現機率、不確定性等因素對失業者工作搜尋決策的影響。第二部份利用2006年至2010年主計處的「人力資源調查」及「人力運用調查」資料從事實證分析。本文從實證分析中驗證以下的模擬結果：一、市場上的工資波動率與失業者的保留工資有正向關係，與移轉到就業的機率有負向關係。二、失業者對工作機會出現機率的預期較高時，擁有較高的保留工資，移轉到就業的機率較低。另外，學習速度較快的失業者在搜尋工作的過程中會以較快的速度下降保留工資，移轉到就業的機率較高。三、失業者對於工作搜尋報酬的不確定程度較高時，擁有較低的保留工資，移轉到就業的機率較高。 / This thesis consists of two parts. The first part is devoted to applying a real option approach to simulate the impacts of market prospect, expected offer arrival rate, and uncertainty on job search decisions. The second part provides an empirical illustration to validate the simulation results by using unemployment data from the 2006-2010 Taiwan Manpower Utilization Survey. The main findings of this thesis can be summarized as follows: (i) The wage volatility is related positively with the reservation wage of the unemployed, but inversely with the transition probability into employment. (ii) If a rising offer arrival rate is expected, the unemployed increase reservation wages and thus decrease transition probabilities. Furthermore, higher learning speed acts to intensively lower the reservation wage. (iii) When the degree of payoff uncertainty is higher, the unemployed decrease reservation wages and thus increase transition probabilities.

Submitted by Paulo César Coimbra Lisbôa (pc.coimbra@gmail.com) on 2010-11-11T01:39:34Z No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) / Rejected by Andrea Virginio Machado(andrea.machado@fgv.br), reason: Conforme conversamos, peço fazer a alteração para acesso livre. Andrea on 2010-11-11T14:03:11Z (GMT) / Submitted by Paulo César Coimbra Lisbôa (pc.coimbra@gmail.com) on 2010-11-11T14:17:27Z No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) / Approved for entry into archive by Andrea Virginio Machado(andrea.machado@fgv.br) on 2010-11-16T11:21:16Z (GMT) No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) / Made available in DSpace on 2010-11-17T10:49:20Z (GMT). No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) Previous issue date: 2009-11-30 / Contaminação da confiança é um caso especial de incerteza Knightiana ou ambiguidade na qual o tomador de decisões está diante de não apenas uma única distribuição de probabilidades, mas sim de um conjunto de distribuições de probabilidades. A primeira parte desta tese tem o propósito de fornecer uma caracterização da contaminação da confiança e então apresentar um conjunto de axiomas comportamentais simples sob os quais as preferências de um tomador de decisões é representada pela utilidade esperada de Choquet com contaminação da confiança. A segunda parte desta tese apresenta duas aplicações econômicas de contaminação da confiança: a primeira delas generaliza o teorema de existência de equilíbrio de Nash de Dow e Werlang (o que permite apresentar uma solução explícita para o paradoxo segundo o qual os jogadores de um jogo do dilema dos prisioneiros com um número infinito de repetições não agem de acordo com o esperado pelo procedimento da indução retroativa) e a outra estuda o impacto da contaminação da confiança na escolha de portfolio. / Contamination of confidence is a special case of Knightian uncertainty or ambiguity in which the decision maker faces not simple probability measure but a set of probability measures. The first part of this thesis has the purpose to provide a characterization of the contamination of confidence and then present a simple set of behavioral axioms under which the decision maker’s preference is represented by the Choquet expected utility with contamination of confidence. The second part of this thesis presents two economic applications of the contamination of confidence: the first of them generalizes Dow and Werlang’s existence Theorem of Nash equilibrium under uncertainty (which enables to present an explicit solution to the paradox on which players in a finitely repeated prisoners’ dilemma breaks down backward induction) and the other studies the impact of the contamination of confidence in the portfolio choice.

Cette thèse est une contribution à la théorie économique sur trois aspects: la dynamique de prix dans les marchés financiers avec asymétrie d’information, la mise à jour des croyances et les raffinements d'équilibre dans les jeux de signaux, et l'introduction de l'ambiguïté dans la théorie du prix limite. Dans le chapitre 2, nous formalisons un jeu d'échange à somme nulle entre un secteur mieux informé et un autre qui l'est moins, pour déterminer de façon endogène, la dynamique du prix sous-jacent. Dans ce modèle, joueur 1 est informé de la conjoncture (L) mais est incertain de la croyance de joueur 2, car ce dernier est seulement informé à travers un message (M) qui est lié à cette conjoncture. Si L et M sont indépendants, alors le processus de prix sera une Martingale Continue à Variation Maximale (CMMV) et joueur 1 peut disposer de cet avantage informationnel. Par contre, si L et M ne sont pas indépendants, joueur 1 ne révèlera pas son information pendant le processus, et il ne bénéficiera donc pas de son avantage en matière d'information. Dans le chapitre 3, je propose une définition de l'équilibre de Test d'hypothèse (HTE) pour des jeux de signaux généraux, avec des joueurs non-Bayésiens qui sont soumis à une règle de mise à jour selon le modèle de vérification d'hypothèse caractérisé par Ortoleva (2012). Un HTE peut être différent d'un équilibre séquentiel de Nash en raison d'une incohérence dynamique. Par contre, dans le cas où joueur 2 traite seulement un message à probabilité nulle comme nouvelle inespérée, un HTE est un raffinement d'équilibre séquentiel de Nash et survit au critère intuitif dans les jeux de signaux généraux mais pas inversement. Nous fournissons un théorème d'existence qui couvre une vaste classe de jeux de signaux qui sont souvent étudiés en économie. Dans le chapitre 4, j'introduis l’ambiguïté dans un modèle d'organisation industrielle classique, dans lequel l'entreprise déjà établie est soit informée de la vraie nature de la demande agrégée, soit soumise à une incertitude mesurable classique sur la conjoncture, tandis qu'un éventuel nouvel arrivant fait face à une incertitude a la Knight (ambiguïté) concernant cette conjoncture. Je caractérise les conditions sou lesquelles le prix limite émerge en équilibre, et par conséquent l'ambigüité diminue la probabilité d'entrée. L'analyse du bien-être montre que le prix limite est plus nocif dans un marché où la demande escomptée est plus élevée que dans un autre où celle-ci est moindre. / This thesis contributes to the economic theory literature in three aspects: price dynamics in financial markets with asymmetric information belief updating and equilibrium refinements in signaling games, and introducing ambiguity in limit pricing theory. In chapter 2, we formulate a zero-sum trading game between a better informed sector and a less 1nformed sector to endogenously determine the underlying price dynamics. In this model, player 1 is informed of the state (L) but is uncertain about player 2's belief about the state, because player 2 is informed through some message (M) related to the state. If L and M are independent, then the price proces s will be a Continuous Martingale of Maximal Variation (CMMV), and player 1 can benefit from his informational advantage. However, if L and M are not independent, player 1 will not reveal his information during the trading process, therefore, he does not benefit from his informational advantage. In chapter 3, I propose a definition of Hypothesis Testing Equilibrium (HTE) for general signaling games with non-Bayesian players nested, by an updating rule according to the Hypothesis Testing model characterized by Ortoleva (2012). An HTE may differ from a sequential Nash equilibrium because of dynamic inconsistency. However, in the case in which player 2 only treats a zero-probability message as an unexpected news, an HTE is a refinement of sequential Nash equilibrium and survives the intuitive Critenon in general signaling games but not vice versa. We provide an existence theorem covering a broad class of signaling games often studied in economics. In chapter 4, I introduce ambiguity in a standard industry organization model, in which the established firm is either informed of the true state of aggregate demand or is under classical measurable uncertainty about the state, while the potential entrant is under Knightian uncertainty (ambiguity) about the state. I characterize the conditions under which limit pricing emerges in equilibria, and thus ambiguity decreases the probability of entry. Welfare analysis shows that limit pricing is more harmful in a market with higher expected demand than in a market with lower expected demand.