Browsing Produção Intelectual em Bases Externas by Author "Faro, José Heleno"

Now showing items 1-3 of 3

    • Ambiguity aversion in the long run: "to disagree, we must also agree" 

      Araújo, Aloísio Pessoa de; Silva, Pietro da; Faro, José Heleno
      2016-09
      We 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 agents' ...

    • Financial market structures revealed by pricing rules: Efficient complete markets are prevalent 

      Araújo, Aloísio Pessoa de; Chateauneuf, Alain Jacques; Faro, José Heleno
      2018
      It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study ...

    • Pricing rules and Arrow-Debreu ambiguous valuation 

      Araújo, Aloísio Pessoa de; Chateauneuf, Alain; Faro, José Heleno
      2012
      This 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 ...