Now showing items 1-17 of 17

    • Asymmetric preferences in investment decisions in the Brazilian financial market 

      Martits, Luiz Augusto; Eid Júnior, William (SSRN, 2007)
      The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility ...
    • O comportamento do investidor brasileiro na alocação de ativos 

      Iglesias, Martin Casals (2006-02-15)
      O objetivo deste trabalho é analisar a alocação de investimentos no mercado acionário brasileiro, utilizando a teoria do prospecto de Tversky e Kahneman (1979) e o conceito de Aversão a Perdas Míope (Myopic Loss Aversion) ...
    • Contratos de performance sob risco e na ausência de incentivo 

      Constantino, Luiz Felipe Monteiro (2011-08-31)
      This paper shows that fixed wages are not the optimal solution for a labour contract when the worker’s outside option is a function of a factor that can vary. The worker’s contract will include a bonus that will also be a ...
    • Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters 

      Faria, Adriano; Ornelas, Rafael; Almeida, Caio Ibsen Rodrigues de (Sociedade Brasileira de Econometria, 2016-03-10)
      This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
    • Ensaios sobre o fator estocástico de descontos 

      Araújo, Fabio (2009-08-10)
      This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount ...
    • Estimating relative risk aversion, the discount rate, and the intertemporal elasticity of substitution in consumption for Brazil using three types of utility function 

      Issler, João Victor; Piqueira, Natalia Scotto (Sociedade Brasileira de Econometria, 2000-11-02)
      Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the ...
    • Estrutura de capital e remuneração dos funcionários: evidência empírica no Brasil 

      Choi, Duk Young; Saito, Richard; Silva, Vinicius Augusto Brunassi (Associação Nacional dos Programas de Pós-graduação em Administração, 2015-04-01)
      This paper analyzes whether the higher the company's financial leverage, the higher the salaries demanded by staff for the embedded financial distress risk. By applying Berk, Stanton and Zechner's (2010) model, we use a2SLS ...
    • A Keynesian model of nominal wage rigidity 

      Werlang, Sérgio Ribeiro Da Costa (Sociedade Brasileira de Econometria, 1990-04-01)
      We present a Model that reflects Keynes' intuition concerning nominal wage rigidity: workers like to keep their relative status on society. Several results are presented, including the analysis of the influence of risk ...
    • Labor supply, risk aversion and economic refrom in China 

      Weinhold, Diana; Zak, Paul J. (Escola de Pós-Graduação em Economia da FGV, 1998-02-05)
      Economic reform in China has created a small, but fast-growing private sector that has spurred rapid productivity growth. Growth of the private sector is predicated upon continued labor movements away from state-run ...
    • On the optimal investment 

      Fajardo, José Manuel; Corcuera, José Manuel; Pamen, Olivier Menouken (Springer New York LLC, 2016)
      In 1988 Dybvig introduced the payoff distribution pricing model (PDPM) as an alternative to the capital asset pricing model (CAPM).Under this newparadigm agents preferences depend on the probability distribution of the ...
    • Risk aversion, the disposition effect and decision-making in groups 

      Prates, Wlademir Ribeiro; Costa Junior, Newton C. A. da; Dorow, Anderson (Centro de Estudos em Finanças (GVcef), 2014)
      This paper presents the results of a laboratory experiment conducted to investigate the manner in which the disposition effect affects individuals’ and groups’ investment decision making. We conducted six experimental ...
    • Robust management and pricing of liquefied natural gas contracts with cancelation options 

      Guigues, Vincent Gérard Yannick; Sagastizábal, Claudia; Zubelli, Jorge P. (Springer New York LLC, 2014)
      Liquefied Natural Gas contracts offer cancelation options that make their pricing difficult, especially if many gas storages need to be taken into account. We develop a valuation mechanism from the buyer's perspective, a ...
    • The role of consumer's risk aversion on price rigidity 

      Alves, Sergio Afonso Lago (Escola de Pós-Graduação em Economia da FGV, 2006-02-16)
      This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms ...
    • Testing consumption optimality using aggregate data 

      Gomes, Fabio Augusto Reis; Issler, João Victor (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2014-06-02)
      The objective of this paper is to test for optimality of consumption decisions at the aggregate level (representative consumer) taking into account popular deviations from the canonical CRRA utility model rule of thumb and ...
    • Testing consumption optimality using aggregate data 

      Gomes, Fabio Augusto Reis; Issler, João Victor (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2014-09-10)
      This paper tests the optimality of consumption decisions at the aggregate level taking into account popular deviations from the canonical constant-relative-risk-aversion (CRRA) utility function model-rule of thumb and ...
    • Three essays on macro-finance: robustness and portfolio theory 

      Guimarães, Pedro Henrique Engel (2017-07-28)
      This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries ...
    • Tolerância ao risco subjetivo: análise das habilidades numéricas como fator determinante 

      Campara, Jessica Pulino; Paraboni, Ana Luiza; Costa Junior, Newton C. A. da; Saurin, Valter; Lopes, Ana Lucia Miranda (Centro de Estudos em Finanças (GVcef), 2016-08)
      Este estudo busca identificar a influência das habilidades numéricas na tolerância ao risco subjetivo (conceito econômico de aversão ao risco). Assim, foram pesquisados 308 estudantes de graduação de uma universidade pública ...