Browsing Documentos indexados pela Scopus by Author "Araújo, Aloísio Pessoa de"

Now showing items 1-6 of 6

    • 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 ...

    • Infinite horizon incomplete markets with a continuum of states 

      Araújo, Aloísio Pessoa de; Monteiro, P. K.; Pascoa, Mario Rui
      1996
      In this paper we address existence of equilibria in an incomplete markets economy with countably many periods and a continuum of states at each node of the infinite tree. We consider two models: one where agents have to ...

    • A model of mixed signals with applications to countersignalling 

      Araújo, Aloísio Pessoa de; Gottlieb, Daniel; Moreira, Humberto Ataíde
      2007
      We develop a job-market signalling model where signals convey two pieces of information. This model is employed to study countersignalling (signals nonmonotonic in ability) and the GED exam. A result of the model is that ...

    • 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 ...

    • Social welfare analysis in a financial economy with risk regulation 

      Machado, José Valentim Vicente; Araújo, Aloísio Pessoa de
      2010
      In the last years, regulating agencies of many countries in the world have adopted VaR-based risk regulation to control market risk of financial institutions. This paper investigates the consequences of such kind of ...

    • Welfare analysis of currency regimes with defaultable debts 

      Araújo, Aloísio Pessoa de; Leon, Márcia Saraiva; Santos, Rafael Chaves
      2013
      We modify the Cole and Kehoe model by including domestic debt. According to the original model, a speculative attack on a high debt level issued abroad triggers external debt default. Here, it is possible to inflate away ...