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This paper investigates dynamically consistent updates of weighted unanimity rules given by variational Bewley preferences (VBP), a class of incomplete preferences characterized by pairs of utility index over consequences and ambiguity index over priors. We show that these dynamically consistent updates are also VBP that preserves the same ranking over consequences and feature conditional ambiguity index obtained through the full Bayesian update of the unconditional one. Moreover, we study conditional forced-choice relations, which capture choices that a decision-maker must take after learning some event. Formally, they are monotone continuous weak orders. We show that any conditional forced-choice relation that preserves the ambiguity attitude of a given unconditional VBP has a variational representation with the same affine utility function over consequences and the ambiguity index of its corresponding dynamically consistent update. Thus, our result provides a novel foundation for full Bayesian updating of variational preferences.

A group of experts, for instance climate scientists, is to choose among 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 an intermediate period of partial resolution of uncertainty is added. We provide axioms that enlarge the initial group of experts with veto power, which leads to a set of probabilistic beliefs that is "rectangular" in a minimal sense. This makes this decision rule dynamically consistent and provides, as a byproduct, a novel behavioral characterization of rectangularity.

RESUMO Este artigo procura incorporar um dos avanços teóricos mais recentes da economia institucional à análise da evolução institucional do Brasil no período 1956/1961: um modelo de escolha racional endógena para a dinâmica institucional. O período Kubitschek foi escolhido porque foi um momento da nossa história recente, onde se tentou implementar mudanças institucionais significativas em nossas instituições políticas, econômicas e sociais, buscando acelerar o ritmo do processo de industrialização. As instituições implantadas, no entanto, não apresentaram a propriedade de autofortalecimento, nem no sentido fraco, nem no sentido forte (termos definidos no artigo), sendo este assunto prejudicado por processos endógenos. Esse arranjo institucional, portanto, inicialmente capaz de se sustentar em condições de rápida industrialização com relativa estabilidade de preços, foi progressivamente enfraquecido, tornando - se auto - exequível somente em condições de estagnação econômica e inflação acelerada. Por fim, argumenta-se que a análise delineada acima pode ser útil para entender um pouco melhor a natureza geral dos processos de mudança institucional. ABSTRACT This paper seeks to incorporate one of the most recent theoretical progresses in institutional economics to the analysis of the institutional evolution of Brazil during the period 1956/1961: an endogenous rational choice model for institutional dynamics. The Kubitschek period was chosen because it was a moment of our recent history where it was tried to implement significant institutional changes in our political, economical and social institutions seeking to accelerate the rhythm of the industrialization process. The institutions implanted however did not present the self-reinforcement property nor in the weak sense, nor in the strong sense (terms defined in the paper), being for this subject to be undermined by endogenous processes. This institutional arrangement therefore, that was initially capable to sustain itself in conditions of fast industrialization with relative stability of prices, was progressively weakened, becoming self - enforceable only in conditions of economic stagnation and accelerated inflation. It is argued finally that the analysis outlined above can be useful to understand a little better the general nature of the processes of institutional change.

International audience; This paper studies the problem of updating the super-replication prices of arbitrage-free finite financial markets with a frictionless bond. Any super-replication price is a pricing rule represented as the support function of some polytope of probabilities containing at least one strict positive probability, which captures the closure of the set of risk-neutral probabilities of any underlying market consistent with the given pricing rule. We show that a weak form of dynamic consistency characterizes the full (prior-by-prior) Bayesian updating of pricing rules. In order to study the problem of updating pricing rules revealing incomplete markets without frictions on all tradable securities, we first show that the corresponding polytope of probabilities must be non-expansible. We find that the full Bayesian updating does not preserve non-expansibility, unless a condition of non-trivial updating is satisfied. Finally, we show that the full Bayesian updating of pricing rules of efficient complete markets is completely stable. We also show that efficient complete markets with uniform bid–ask spreads are stable under full Bayesian updating, while efficient complete markets that fulfill the put–call parity are stable only under a Choquet pricing rule computed with respect to a regular concave nonadditive risk-neutral probability.

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' posterior belief reductions given by their “average probabilistic beliefs” do not become homogeneous then an equilibrium does not exist. It is worth noting that our main result does not imply any convergence of ambiguity perception or even the attitudes towards it. In this way, complete markets with default and punishment allow for ambiguity aversion in the long run, and the agents can disagree on their ambiguity perception but they must agree on their expected beliefs.

International audience; 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 is to elucidate what type of market structure usually emerges from pricing rules. First, we obtain that finitely generated pricing rules, characterized by polytopes of probabilities, capture the class of all finite arbitrage-free financial markets that are potentially incomplete or subject to frictions affecting tradable assets. Next, we provide a novel characterization of efficient securities and introduce related notions of market completeness that underlies pricing rules. Our main result shows that the class of efficient complete markets with bid-ask spreads is the prevalent case revealed by finitely generated pricing rules.

International audience; In 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.

International audience; 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 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.

International audience; We 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 [formule] 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⊂Ac 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.

This 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.

This paper characterizes variational Bewley preferences over Anscombe and Aumann acts, a class of binary relations that may fail completeness or transitivity vis a vis independence. The main result gives an axiomatization of preference relations ≿ represented as follows: f ≿ g ⇔ ∫ u ( f ) d p + η ( p ) ≥ ∫ u ( g ) d p for all p ∈ Δ , where u is an affine utility index over a convex set X of consequences, η : Δ → [ 0 , ∞ ] is an ambiguity index, and Δ is the set of priors over the state space S. This representation has a natural interpretation as a weighted unanimity rule, with the function η reflecting the weight given to a prior and higher values of η corresponding to priors given less weight. Bewley's incomplete preferences can be identified precisely with the addition of transitivity or independence, and a prior receives weight either 0 if plausible or ∞ when discarded. Also, by adding only completeness, we recover subjective expected utility, i.e., the lack of transitivity implies incompleteness. Finally, we find a strong connection of our model with the class of variational preferences.

We 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 α 0 such that our preference relation has a functional representation J, where given an act f J ( f ) = min ⁡ p ∈ L α 0 ϕ 1 ϕ ( p ) ∫ S u ( f ) d p . The level set L α 0 ϕ : = { p : ϕ ( p ) ≥ α 0 } reflects the priors held by the decision maker and the value ϕ ( p ) captures the relevance of prior p for his decision. The combination of ϕ and α 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 utility.

CNPq - Conselho Nacional de Desenvolvimento Científico e Tecnológico CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior This thesis comprises three chapters in which the fi rst two study the role of inequality on human development indexes and the last chapter analyses the effect of Knightian ambiguity on a New Keynesian model with fi scal policy shock. In the first chapter we axiomatize, in the multidimensional case, a social evaluation function that can accommodate a natural Pigou-Dalton principle and correlation increasing majorization. This is performed by building upon a simple subclass of inframodular functions proposed by Muller and Scarsini under risk. The second chapter axiomatizes a class of multidimensional social evaluation function in which Inequality-adjusted Human Development Index is a special case. We, furthermore, show that this class of social evaluation function accommodates Pigou-Dalton principle and agrees with the subclass of inframodular functions. Finally, we analyze the context where the social planner is unsure on how to weigh different attributes and their implications to the inequality aversion approach. The last chapter analyzes the effect of con fidence shocks on fiscal policy through a New Keynesian model with ambiguity averse agents and nominal rigidities. We also model the household's preference for holding risk-free assets and compare the effects of risk premium shocks on economic activity. We nd that con fidence shocks on fiscal policy may generate business cycles comovement among output, consumption, investment and hours worked. Risk premium shock has similar results without expansive fiscal policy. Esta tese consiste em três capítulos na qual os dois primeiros estudam o papel da desigualdade em índices de desenvolvimento humano e o último capítulo analisa o efeito da ambiguidade Knightiana em um modelo Novo Keynesiano com choque de política fiscal. No primeiro capítulo nós axiomatizamos, para o caso multidimensional, uma função de avaliação social que acomoda o princípio Pigou-Dalton e majoração da correlação crescente. Essa função de avaliação social é construída a partir da subclasse de funções inframodulares sobre risco propostas por Müller e Scarsini. O segundo capítulo axiomatiza uma classe função de avaliação social multidimensional da qual o Índice de Desenvolvimento Humano ajustado à Desigualdade é um caso especial. Ademais, nós mostramos que essa classe de função de avaliação social concorda com o princípio de Pigou-Dalton e com a subclasse de funções inframodulares. Por fim, nós analisamos o contexto onde o planejador social não tem convicção sobre como ponderar os atributos da função e suas aplicações em relação à abordagem de aversão à incerteza. O último capítulo analisa o efeito de um choque de confidência sobre a política fiscal através de um modelo Novo Keynesiano com agentes avessos à incerteza e rigidezes nominais. Nós também modelamos a preferência das famílias por ativos livres de riscos e comparamos os efeitos de um choque de prêmio de risco na atividade econômica. Nós encontramos que o choque de confidência na política fiscal pode gerar movimentos conjuntos entre produto, consumo, investimento e horas trabalhadas. O choque de prêmio de risco apresenta resultados similares sem que a política fiscal seja expansiva.

Modelos de escolha perante incertezas incorporando ambiguidade se tornaram uma tema importante de pesquisa após a apresentação do Paradoxo de Ellsberg. O intuito do presente trabalho é contribuir para essa área do conhecimento através de uma análise mais detalhada do modelo de preferências Bewley Variacional. Primeiro foi feita uma revisão bibliográfica da literatura, culminando no modelo em questão e finalmente sugerindo uma abordagem do axioma da independência Models of choice with uncertainty that allows for ambiguity to be present have become an important subject of research after Ellsbergs Paradox. This work aims to contribute to this area of knowledge through a more detailed analysis of the model Variational Bewley Preferences. First we present a survey of the literature, then analyse and finally suggest a further understanding of Faros model with respect to the independence axiom