JOSÉ HELENO FARO
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Artigo Científico Alpha-maxmin as an aggregation of two selve(2024) Chateauneuf, Alain; JOSÉ HELENO FARO; Tallon, Jean-Marc; Vergopoulos, VassiliThis paper offers a novel perspective on the -maxmin model, taking its components as originating from distinct selves within the decision maker. Drawing from the notion of multiple selves prevalent in inter-temporal decision-making contexts, we present an aggregation approach where each self possesses its own preference relation. Contrary to existing interpretations, these selves are not merely a means to interpret the decision maker’s overall utility function but are considered as primitives. Through consistency requirements, we derive an -maxmin representation as an outcome of a convex combination of the preferences of two distinct selves. We first explore a setting involving objective information and then move on to a fully subjective derivation.Artigo Científico Independence and variational bewley preferences: a note(2020) Bastianello, Lorenzo; JOSÉ HELENO FARO; Teles, FláviaThis note studies some alternatives and weak versions of the Independence axiom in a decision theoretic framework under uncertainty. We propose a characterization of this axiom using a property called Weight Independence. Moreover we study how the Independence axiom is related with the Variational Bewley model of Faro [2015]. We show that Variational Bewley preferences satisfy a weaker form of independence called Independence for Constant Weights. This topic gives us the opportunity to discuss the pioneeristic contributions of David Schmeidler on the weakening of the Independence axiom.Artigo Científico Dynamically consistent objective and subjective rationality(2022) Bastianello, Lorenzo; JOSÉ HELENO FARO; Santos, AnaA group of experts, for instance climate scientists, is to advise a decision maker about the choice between two policies f and g. Consider the following decision rule. If all experts agree that the expected utility of f is higher than the expected utility of g, the unanimity rule applies, and f is chosen. Otherwise, the precautionary principle is implemented and the policy yielding the highest minimal expected utility is chosen. This decision rule may lead to time inconsistencies when adding an intermediate period of partial resolution of uncertainty. We show how to coherently reassess the initial set of experts’ beliefs so that precautionary choices become dynamically consistent: new beliefs should be added until one obtains the smallest “rectangular set” that contains the original one. Our analysis offers a novel behavioral characterization of rectangularity and a prescriptive way to aggregate opinions in order to avoid sure regret.Livro Introdução à Teoria da Escolha(2005) JOSÉ HELENO FARO; Castro, Luciano Irineu deEsta monografia está dividida em quatro partes: escolha sob certeza, escolha sob risco e incerteza, escolha sob ambigüidade e escolha social. Antes de descrever o que contém cada uma das partes, vamos esclarecer a distinção entre risco, incerteza e ambigüidade.Artigo Científico Ambiguity aversion in the long run: “To disagree, we must also agree”(2016) Araujo, Aloisio; Silva, Pietro da; JOSÉ HELENO FAROArtigo Científico On the confidence preferences model(2012) Chateauneuf, Alain; JOSÉ HELENO FAROIn this paper we study the model of decision under uncertainty consistent with confidence preferences. In that model, a decision maker held beliefs represented by a fuzzy set of priors and tastes captured by a standard affine utility index on consequences. First, we find some interesting properties concerning the well-known maxmin expected utility model, taking into account the point of view of the confidence preferences model. Further, we provide new examples of preferences that capture ambiguity-averse attitudes weaker than ambiguity attitudes featured by maxmin expected utility theory. Finally, we discuss the axiomatic foundations for the confidence preferences model with optimistic behavior.Artigo Científico Financial market structures revealed by pricing rules: Efficient complete markets are prevalent(2018) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FAROTrabalho de Evento Dynamic bbjective and subjective rationality(2014) JOSÉ HELENO FARO; Lefort, Jean PhilippeThe objective and subjective rationality model characterizes decision makers (DMs) by two preference relations over uncertain acts and provides a dual perspective on rationality. The Örst preference reáects choices that are rational in an objective sense and the second one expresses choices labeled as subjectively rational. While an objective ranking means that the DM can convince others of the correctness of making them, in a sub jective choice the DM cannot be convinced of the incorrectness of making them. Objective and subjective preferences are represented, respectively, by Bewleyís unanimity rule and a maxmin expected utility, both repre sentations holding the same set of multiple priors. We propose and axiomatize a dynamic model for the objective and subjective rationality theory. The static model speciÖes some set of prior probabilities, which should be then updated in the light of new and rele vant information. We provide two new axioms on the interplay of uncon ditional objective relations and conditional subjective preferences. Such axioms ensure that a conditional subjective relation is also a maxmin ex pected utility preference and the corresponding set of priors is generated by the full Bayesian updating rule. Our main result thus provides a foun dation for sequentially consistent maxmin subjective preferences, where the prior sets are updated according to the prior-by-prior Bayesí rule. Finally, we study the dynamics of objective preferences and its relations with our main result.Artigo 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.