Coleção Insper Business and Economics Working Papers
URI permanente para esta coleçãohttps://repositorio.insper.edu.br/handle/11224/5740
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7 resultados
Resultados da Pesquisa
- Salience-Biased Nested Logit(2025) Caluz, Antonio Daniel; JOSÉ HELENO FARO; Sanches, Fabio MiessiThis paper introduces a two-level nested stochastic choice model in which nest probabilities are driven by salience. A category comprises alternatives that might be costly to gather information about, and we implicitly assume that market leaders are easier to familiarize oneself with. By learning about those alternatives more affordably, the items with the highest probability within each category become their respective saliences when selecting the category. Formally, a partition of the available options defines the collection of nests (categories), while a Luce function assigns weights to all alternatives. These two components represent the salience-biased nested logit (SBNL) model, which differs from the standard nested logit (NL) model primarily because the nest probabilities are determined solely by the highest probability within each category, which defines the corresponding salient alternative in our approach. Like the NL model, the Luce model is applicable within categories. While SBNL usually violates regularity, which leads to a form of market leader effect, we can develop a specific case of our model within the conventional random utility framework and demonstrate its broad applicability in practice under a standard parametric specification for utility. This results in a well-specified method for estimating the model’s parameters using individual or aggregate market data. It serves as an additional tool for analyzing market shares and clarifying how price elasticities may display different patterns according to marginal effects on demand stemming from variations in the prices of market share leaders (the salient ones) compared to price changes in non-leader alternatives.
Working Paper Ignorance and Competence in Choices Under Uncertainty(2013) Casaca, Paulo; Chateauneuf, Alain; JOSÉ HELENO FAROWorking Paper Dynamic Objective and Subjective Rationality(2013) JOSÉ HELENO FARO; Lefortz, Jean PhilippeThe objective and subjective rationality model characterizes decision makers (DMs) by two preference relations over uncertainty acts and provides a dual perspective of rationality. The Örst preference reáects choices that are rational in an objective sense and the second ones express choices labeled subjective rational. While an objective ranking means that the DM can convince others that she is right in making them, in a subjective choice the DM cannot be convinced that she is wrong in making them. Objective and subjective preferences are represented, respectively, by a Bewleyís unanimity rule and a maxmin expected utility, both representations holding the same set of multiple priors. We propose and axiomatize a dynamic Bayesian model for the objective and subjective rationality theory. The static model specifies some set of prior probabilities, which should be then updated in the light of new and relevant information. We provide two new axioms on the interplay of unconditional objective relations and conditional subjective preferences. Such axioms ensure that a conditional subjective relation is also a maxmin expected utility preference and the corresponding set of priors is derived from the full Bayesian updating, i.e., it is generated by the prior-by-prior updating of all unconditional probabilities. Our main result thus provides a novel foundation for sequential consistent maxmin preferences as well as for the full Bayesian updating. Finally, we study the dynamics of objective preferences and its relations with our main result.Working Paper Cobb-Douglas Preferences under Uncertainty(2012) JOSÉ HELENO FAROThis paper axiomatizes Cobb-Douglas preferences under uncertainty. First, we extend the original Trockel (1989)'s axiomatic foundation to a general state space framework based on the Strong Homotheticity Axiom, obtaining also the incomplete case a la Bewley (2002). We show that this key axiom for the Cobb Douglas expected utility speci cation is refuted by Ellsberg's uncertainty aver sion behavioral pattern. Our main result provides a set of meaningful axioms characterizing Cobb-Douglas Min-Expected Utility preferences, an important class of uncertainty averse preferences for studying the consequences of am biguity in nance and other elds. Finally, we present brie y how to obtain more general representations like the variational case.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.Working Paper Variational Bewley Preferences(2014) JOSÉ HELENO FARO