JOSÉ HELENO FARO
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Artigo Científico Choquet expected discounted utility(2022) JOSÉ HELENO FARO; Bastianello, LorenzoArtigo Científico Updating variational (Bewley) preferences(2021) JOSÉ HELENO FARO; Santos, AnaArtigo Científico Updating pricing rules(2018) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FARO; Holanda, BrunoArtigo Científico Dynamic objective and subjective rationality(2019) JOSÉ HELENO FARO; Lefort, Jean PhilippeWe characterize prior-by-prior Bayesian updating using a model proposed by Gilboa, Maccheroni, Marinacci, and Schmeidler (2010) that jointly considers objective and subjective rationality. These rationality concepts are subject to the Be wley unanimity rule and maxmin expected utility, respectively, with a common set of priors and the same utility over consequences. We use this setup with two preference relations to develop a novel rationale for full Bayesian updating of maxmin expected utility preferences.Artigo Científico Cobb-Douglas preferences under uncertainty(2013) JOSÉ HELENO FAROThis paper axiomatizes Cobb-Douglas preferences under uncertainty. First, we extend the original Trockel (Econ Lett 30:7–10, 1989)’s axiomatic foundation to a general state space framework based on the Strong Homotheticity Axiom, obtaining also the incomplete case a la Bewley (Decis Econ Financ 25:79–110, 2002). We show that this key axiom for the Cobb-Douglas expected utility specification is refuted by Ellsberg’s uncertainty aversion 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 ambiguity in finance and other fields. Finally, we present briefly how to obtain more general representations like the variational case.Artigo Científico Financial market structures revealed by pricing rules: Efficient complete markets are prevalent(2018) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FAROArtigo Científico Ambiguity through confidence functions(2009) Chateauneuf, Alain; JOSÉ HELENO FAROWe characterize preference relations over bounded below Anscombe and Aumann’s acts and give necessary and sufficient conditions that guarantee the existence of a utility function u on consequences, a confidence function ϕ on the set of all probabilities over states of nature, and a positive threshold level of confidence ˛0 such that our preference relation has a functional representation J, where given an act f J(f) = min p ∈ L˛0 ϕ 1 ϕ(p) S u(f) dp. The level set L˛0ϕ := {p : ϕ(p) ≥ ˛0} reflects the priors held by the decision maker and the valueϕ(p) captures the relevance of prior p for his decision. The combination ofϕ and˛0 may describe the decision maker’s subjective assessment of available information. An important feature of our representation is the characterization of the maximal confidence function which allows us to obtain results on comparative ambiguity aversion and on special cases, namely the subjective expected utility, the Choquet expected utility with convex capacity, and the maxmin expected utilitArtigo Científico Variational bewley preferences(2015) JOSÉ HELENO FAROArtigo 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.