Coleção Insper Business and Economics Working Papers
URI permanente para esta coleçãohttps://repositorio.insper.edu.br/handle/11224/5740
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Working Paper Ambiguity Aversion in the Long Run: "To Disagree, We Must Also Agree"(2015) Araujo, Aloisio; Silva, Pietro da; JOSÉ HELENO FAROWe 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.Working Paper Updating Pricing Rules(2016) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FARO; Holanda, BrunoThis 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.