JOSÉ HELENO FARO
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Artigo Científico Pricing rules and arrow – debreu ambiguous valuation(2012) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FAROThis 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.Artigo Científico Ignorance and competence in choices under uncertainty(2014) Casaca, Paulo; Chateauneuf, Alain; JOSÉ HELENO FAROWe propose a model of decision making that captures reluctance to bet when the decision maker (DM) perceives that she lacks adequate information or expertise about the underlying contingencies. On the other hand, the same DM can prefer to bet in situations where she feels specially knowledgeable or competent even if the underlying contingencies have vague likelihoods. This separation in terms of sources of uncertainty is motivated by the Heath and Tversky’s competence hypothesis as well as by the Fox and Tversky’s comparative ignorance effect. Formally, we characterize preference relations % over Anscombe – Aumann acts represented by J (f) = min p∈C A u(f)dp + max p∈C A c u(f)dp, where u is an affine utility index on consequences, C is a nonempty, convex and (weak∗ ) compact subset of probabilities measures, and A is a referential chance event. In this model there is a clear separation of ambiguity attitudes. The case E ⊂ A captures possible familiar target events while the case E ⊂ A c might refer to the case of relative ignorance concerning related contingencies. This model captures a special case of event dependence of ambiguity attitudes in which the well known maxmin model is a special case. We also characterize the case where we have a Choquet Expected Utility representation. Journal of Economic Literature Classification Number: D81.