Navegando por Autor "Araujo, Aloisio"

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Ambiguity Aversion in the Long Run: "To Disagree, We Must Also Agree"
(2015) Araujo, Aloisio; Silva, Pietro da; JOSÉ HELENO FARO
We consider an economy populated by smooth ambiguity-averse agents with complete markets of securities contingent to economic scenarios, where bankruptcy is permitted but there is a penalty for it. We show that if agentsí posterior belief reductions given by their ìaverage proba bilistic beliefs" do not become homogeneous then an equilibrium does not exist. It is worth noting that our main result does not imply any conver gence of ambiguity perception or even the attitudes towards it. In this way, complete markets with default and punishment allows for ambiguity aversion in the long run, and the agents can disagree on their ambiguity perception but they must agree on their expected beliefs.
Ambiguity aversion in the long run: “To disagree, we must also agree”
(2016) Araujo, Aloisio; Silva, Pietro da; JOSÉ HELENO FARO
Caution valuation rules and rfficiency in financial markets
(2014) JOSÉ HELENO FARO; Chateauneuf, Alain; Araujo, Aloisio
Efficient Complete Markets Are the Rule Rather thanthe Exception
(2015) JOSÉ HELENO FARO; Chateauneuf, Alain; Araujo, Aloisio
Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
(2018) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FARO
Pricing rules and arrow – debreu ambiguous valuation
(2012) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FARO
This paper considers pricing rules of single-period securities markets with finitely many states. Our main result characterizes those pricing rules C that are super-replication prices of a frictionless and arbitrage-free incomplete asset structure with a bond. This characterization relies on the equivalence between the sets of frictionless securities and securities priced by C. The former captures securities without bid-ask spreads, while the second captures the class of securities where, if some of its delivers is replaced by a higher payoff, then the resulting security is characterized by a higher value priced by C. We also analyze the special case of pricing rules associated with securities markets admitting a structure of basic assets paying one in some event and nothing otherwise. In this case, we show that the pricing rule can be characterized in terms of capacities. This Arrow–Debreu ambiguous state price can be viewed as a generalization for incomplete markets of Arrow–Debreu state price valuation. Also, some interesting cases are given by pricing rules determined by an integral w.r.t. a risk-neutral capacity. For instance, incomplete markets of Arrow securities and a bond are revealed by a Choquet integral w.r.t. a special risk-neutral capacity.
Updating pricing rules
(2018) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FARO; Holanda, Bruno
Updating Pricing Rules
(2016) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FARO; Holanda, Bruno
This paper studies the problem of updating the super-replication prices of na arbitrage-free market in a multiperiod setting. We introduce a set of standard properties and a (weak) version of Dynamic Consistency to characterize the updated pricing rules by the Full Bayesian Rule. Since different pricing rules are related to different kinds of frictions on the financial markets, this study allow us to analyze the evolution of the market structure when new informations are revealed. We also provide a geometric characterization for the pricing rules that characterizes frictionless incomplete markets. This geometric property is useful to demonstrate that the incomplete frictionless market structure is invariant under updating when a non trivial updating condition between the set of risk-neutral measures and revealed information is present.