8 research outputs found
On the optimal investment
- Author
- Publication venue
- Publication date
- 06/06/2016
- Field of study
In 1988 Dybvig introduced the payoff distribution pricing model (PDPM) as an alternative to the capital asset pricing model (CAPM). Under this new paradigm agents preferences depend on the probability distribution of the payoff and for the same distribution agents prefer the payoff that requires less investment. In this context he gave the notion of efficient payoff. Both approaches run parallel to the theory of choice of von Neumann -Morgenstern (1947), known as the Expected Utility Theory and posterior axiomatic alternatives. In this paper we consider the notion of optimal payoff as that maximizing the terminal position for a chosen preference functional and we investigate the relationship between both concepts, optimal and efficient payoffs, as well as the behavior of the efficient payoffs under different market dynamics. We also show that path-dependent options can be efficient in some simple models
Processo de Meixner: teoria e aplicações no mercado financeiro brasileiro
- Author
- ANDERSON T. W.
- BAKSHI G.
- BARNDORFF-NIELSEN O.E.
- BARNDORFF-NIELSEN O.E.
- BATES D.
- BATES D.
- BATES D.
- BERTOIN J.
- BLACK F.
- CARR P.
- DELBAEN F.
- DUFFIE D.
- EBERLEIN E.
- ESSCHER F.
- FAJARDO J.
- FAJARDO J.
- FAJARDO J.
- FAJARDO J.
- FAJARDO J.
- Felipe Gomes Pereira Coutinho
- FRENCH D. W.
- GERBER H.U.
- GERBER H.U.
- GRIGELIONIS B.
- GRIGELIONIS B.
- HESTON S.
- JONES E. P.
- José Santiago Fajardo Barbachan
- MADAN D.
- MERTON R. C.
- NAIK V.
- SCHOUTENS W.
- SCHOUTENS W.
- SCHOUTENS W.
- STEPHENS M. A.
- Publication venue
- 'FapUNIFESP (SciELO)'
- Publication date
- Field of study
On the Optimal Investment
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Two Additions to Lucas's 'Inflation and Welfare'
- Author
- A Experi�ncia De Crescimento Das Economias De Mercado
- A Family Of Autoregressive Conditional Duration Models -Marcelo Fernandes
- A In�rcia Da Taxa De Juros Na Pol�tica Monet�ria -Fernando De Holanda Barbosa
- A New Perspective On The Ppp Hypothesis -Soyoung Kim
- A Note On Chambers&apos
- A Seierstad
- Andrei Spacov -Fevereiro De
- Avaliando Pesquisadores E Departamentos De Economia No Brasil A Partir De Cita��es Internacionais -Jo�o Victor Issler
- C Paulo
- Capitais Internacionais: Complementares Ou Substitutos? -Carlos Hamilton
- Carlos Viana De Carvalho -Outubro De
- Central Limit Theorem For Asymmetric Kernel Functionals -Marcelo Fernandes
- Choice Of Technique In The Robinson-Solow-Srinivasan Model -M. Ali Khan -Setembro On
- Debt
- Desenho De Um Sistema De Metas Sociais -Marcelo C�rtes N�ri
- Do
- E A Coddington
- E Normality Under Uncertainty -Carlos Eug�nio
- E Redistribution With Unobserved &apos
- Endogenous Collateral -Alo�sio Ara�jo
- Endogenous Time-Dependent Rules And The Costs Of Disinflation With Imperfect Credibility -Marco Bonomo
- Ensaios
- Equilibria In Security Markets With A Continuum Of Agents -A F Araujo
- Garantias E Acesso � Cr�dito -Marcelo C�rtes Empres�rios Nanicos
- H Marcos
- H Marcos
- Humberto Moreira
- Humberto Moreira
- Imposto Inflacion�rio E Transfer�ncias
- Infla��o: In�rcia E D�ficit
- Joachim Grammig -Setembro De
- Jos� Fajardo Barbachan
- K Arrow
- K J Arrow
- L S Pontryagin
- Mario H Simonsen
- Mario R P�scoa -Novembro De
- Martin J Bailey
- Monetary
- Non-Monotone Insurance Contracts And Their Empirical Consequencesalo�sio Araujo
- Nonparametric Specification
- O L Mangasarian
- O M�todo
- O Valor Da Moeda E A Teoria Dos Pre�os Dos Ativos -Fernando De Holanda Barbosa
- Optimal
- Optimal Auctions
- Output
- Paulo Klinger Monteiro
- Production Functions Used In Empirical Growth Studies -Pedro Cavalcanti Testing
- R E Lucas
- Rachel Couto Ferreira
- Regional Or Educational Disparities? A Counterfactual Exercise -Angelo Jos� Mont&apos
- Renato G Fl�res
- Renato Luiz
- Risk
- Robustness Of Stationary Tests Under Long-Memory Alternatives -Luiz Renato Lima
- Rubens Penha Cysne
- Shocks Permanently Change Output? Local Persistency In Economic Time Series -Luiz Renato Do
- Should
- Silva Giovanini -Dezembro Fabiano Da
- Testing Unit Root
- The
- The Set Of Equilibria Of First-Price Auctions -Paulo Klinger Monteiro
- The Trade-Off
- Trade
- Trade
- Two
- Vari�veis Intrumentais E O Mgm: Uso
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2004
- Field of study
A Search-Theoretic Explanation for the Negative Correlation between Labor Income and Impatience
- Author
- A Fernando
- A In�rcia Da Taxa De Juros Na Pol�tica Monet�ria -Fernando De Holanda Barbosa
- A Model Of Mixed Signals With Applications To Countersignaling An The Ged -Aloisio Araujo
- A New Perspective On The Ppp Hypothesis -Soyoung Kim
- Andrei Spacov -Fevereiro De
- As A Redistributive Device -Daniel Banning Information
- Avaliando Pesquisadores E Departamentos De Economia No Brasil A Partir De Cita��es Internacionais -Jo�o Victor Issler
- C Paulo
- Central Limit Theorem For Asymmetric Kernel Functionals -Marcelo Fernandes
- Common
- Cyclical Interest
- Daniel Gottlieb
- Debt
- Desenho De Um Sistema De Metas Sociais -Marcelo C�rtes N�ri
- Do
- Dois Experimentos De Pol�tica Monet�ria NO
- E C Lawrance
- Efeitos Macroecon�micos E Custos Sociais De Uma Transi��o Entre Regimes De Previd�ncia No Brasil -Leonardo Pio Perez
- Endogenous Collateral -Alo�sio Ara�jo
- Ensaios
- Equilibria In Security Markets With A Continuum Of Agents -A F Araujo
- Garantias E Acesso � Cr�dito -Marcelo C�rtes Empres�rios Nanicos
- H Marcos
- H Marcos
- Humberto Moreira
- Humberto Moreira
- Imposto Inflacion�rio E Transfer�ncias
- Infla��o: In�rcia E D�ficit
- J Lucas
- John Mccall
- Jos� Fajardo Barbachan
- Lucas Maestrijulho De
- Mario R P�scoa -Novembro De
- Monetary
- Money
- N L Stokey
- Non-Monotone Insurance Contracts And Their Empirical Consequencesalo�sio Araujo
- O M�todo
- O Valor Da Moeda E A Teoria Dos Pre�os Dos Ativos -Fernando De Holanda Barbosa
- Optimal Auctions
- Output
- Paulo Klinger Monteiro
- Principais Caracter�sticas Do Consumo De Dur�veis No Brasil E Testes De Separabilidade Entre Dur�veis E N�o-Dur�veis -F�bio Augusto Reis Gomes
- Purchasing Power
- Rachel Couto Ferreira
- Regional Or Educational Disparities? A Counterfactual Exercise -Angelo Jos� Mont&apos
- Renato G Fl�res
- Renato Luiz
- Robustness Of Stationary Tests Under Long-Memory Alternatives -Luiz Renato Lima
- Rubens P
- Rubens Penha Cysne
- Shocks Permanently Change Output? Local Persistency In Economic Time Series -Luiz Renato Do
- Should
- Silva Giovanini -Dezembro Fabiano Da
- T Ferguson
- Testing Unit Root
- The
- The Risk-Properties
- The Set Of Equilibria Of First-Price Auctions -Paulo Klinger Monteiro
- The Trade-Off
- Trade
- Trade
- Two
- Vari�veis Intrumentais E O Mgm: Uso
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2004
- Field of study
Income Inequality: The Role of Impatience in a Job-Search Process
- Author
- A Fernando
- A In�rcia Da Taxa De Juros Na Pol�tica Monet�ria -Fernando De Holanda Barbosa
- A Model Of Mixed Signals With Applications To Countersignaling An The Ged -Aloisio Araujo
- A New Perspective On The Ppp Hypothesis -Soyoung Kim
- Andrei Spacov -Fevereiro De
- As A Redistributive Device -Daniel Banning Information
- Avaliando Pesquisadores E Departamentos De Economia No Brasil A Partir De Cita��es Internacionais -Jo�o Victor Issler
- C Paulo
- C Pissarides
- Central Limit Theorem For Asymmetric Kernel Functionals -Marcelo Fernandes
- Common
- Cyclical Interest
- Daniel Gottlieb
- Debt
- Desenho De Um Sistema De Metas Sociais -Marcelo C�rtes N�ri
- Do
- Dois Experimentos De Pol�tica Monet�ria NO
- Efeitos Macroecon�micos E Custos Sociais De Uma Transi��o Entre Regimes De Previd�ncia No Brasil -Leonardo Pio Perez
- Endogenous Collateral -Alo�sio Ara�jo
- Ensaios
- Equilibria In Security Markets With A Continuum Of Agents -A F Araujo
- Garantias E Acesso � Cr�dito -Marcelo C�rtes Empres�rios Nanicos
- H Marcos
- H Marcos
- Humberto Moreira
- Humberto Moreira
- Imposto Inflacion�rio E Transfer�ncias
- Infla��o: In�rcia E D�ficit
- J Lucas
- John Mccall
- Jos� Fajardo Barbachan
- Lucas Maestrijulho De
- Mario R P�scoa -Novembro De
- Monetary
- Money
- N L Stokey
- Non-Monotone Insurance Contracts And Their Empirical Consequencesalo�sio Araujo
- O M�todo
- O Valor Da Moeda E A Teoria Dos Pre�os Dos Ativos -Fernando De Holanda Barbosa
- Optimal Auctions
- Output
- Paulo Klinger Monteiro
- Principais Caracter�sticas Do Consumo De Dur�veis No Brasil E Testes De Separabilidade Entre Dur�veis E N�o-Dur�veis -F�bio Augusto Reis Gomes
- Purchasing Power
- Rachel Couto Ferreira
- Regional Or Educational Disparities? A Counterfactual Exercise -Angelo Jos� Mont&apos
- Renato G Fl�res
- Renato Luiz
- Robustness Of Stationary Tests Under Long-Memory Alternatives -Luiz Renato Lima
- Rubens Cysne
- Rubens Penha Cysne
- Shocks Permanently Change Output? Local Persistency In Economic Time Series -Luiz Renato Do
- Silva Giovanini -Dezembro Fabiano Da
- Testing Unit Root
- The
- The Risk-Properties
- The Set Of Equilibria Of First-Price Auctions -Paulo Klinger Monteiro
- The Trade-Off
- Trade
- Trade
- Two
- Vari�veis Intrumentais E O Mgm: Uso
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2004
- Field of study
Inflation and Income Inequality: A Link Through the Job-Search Process
- Author
- . A Souza
- A Fernando
- A In�rcia Da Taxa De Juros Na Pol�tica Monet�ria -Fernando De Holanda Barbosa
- A Model Of Mixed Signals With Applications To Countersignaling An The Ged -Aloisio Araujo
- A New Perspective On The Ppp Hypothesis -Soyoung Kim
- Andrei Spacov -Fevereiro De
- As A Redistributive Device -Daniel Banning Information
- Avaliando Pesquisadores E Departamentos De Economia No Brasil A Partir De Cita��es Internacionais -Jo�o Victor Issler
- C Paulo
- Central Limit Theorem For Asymmetric Kernel Functionals -Marcelo Fernandes
- Christina D Romer
- Common
- Cyclical Interest
- Daniel Gottlieb
- Debt
- Desenho De Um Sistema De Metas Sociais -Marcelo C�rtes N�ri
- Do
- Dois Experimentos De Pol�tica Monet�ria NO
- E Cardoso
- E Cardoso
- Efeitos Macroecon�micos E Custos Sociais De Uma Transi��o Entre Regimes De Previd�ncia No Brasil -Leonardo Pio Perez
- Endogenous Collateral -Alo�sio Ara�jo
- Equilibria In Security Markets With A Continuum Of Agents -A F Araujo
- Garantias E Acesso � Cr�dito -Marcelo C�rtes Empres�rios Nanicos
- H Marcos
- H Marcos
- Humberto Moreira
- Humberto Moreira
- Imposto Inflacion�rio E Transfer�ncias
- Infla��o: In�rcia E D�ficit
- J Lucas
- John Mccall
- Jos� Fajardo Barbachan
- Lucas Maestrijulho De
- M Simonsen
- Mario R P�scoa -Novembro De
- Monetary
- Money
- N L Stokey
- Non-Monotone Insurance Contracts And Their Empirical Consequencesalo�sio Araujo
- O M�todo
- O Valor Da Moeda E A Teoria Dos Pre�os Dos Ativos -Fernando De Holanda Barbosa
- Optimal Auctions
- Output
- Paulo Klinger Monteiro
- Principais Caracter�sticas Do Consumo De Dur�veis No Brasil E Testes De Separabilidade Entre Dur�veis E N�o-Dur�veis -F�bio Augusto Reis Gomes
- Purchasing Power
- R P Cysne
- Rachel Couto Ferreira
- Regional Or Educational Disparities? A Counterfactual Exercise -Angelo Jos� Mont&apos
- Renato G Fl�res
- Renato Luiz
- Robustness Of Stationary Tests Under Long-Memory Alternatives -Luiz Renato Lima
- Rubens P Cysne
- Rubens Penha Cysne
- Shocks Permanently Change Output? Local Persistency In Economic Time Series -Luiz Renato Do
- Should
- Silva Giovanini -Dezembro Fabiano Da
- Testing Unit Root
- The
- The Risk-Properties
- The Set Of Equilibria Of First-Price Auctions -Paulo Klinger Monteiro
- The Trade-Off
- Trade
- Trade
- Two
- Vari�veis Intrumentais E O Mgm: Uso
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2014
- Field of study
On the Statistical Estimation of Diffusion Processes - A Survey
- Author
- A Experi�ncia De Crescimento Das Economias De Mercado
- A Family Of Autoregressive Conditional Duration Models -Marcelo Fernandes
- A In�rcia Da Taxa De Juros Na Pol�tica Monet�ria -Fernando De Holanda Barbosa
- A J Dorogovcev
- A New Perspective On The Ppp Hypothesis -Soyoung Kim
- A Note On Chambers&apos
- A R Pedersen
- A R Pedersen
- Andrei Spacov -Fevereiro De
- Avaliando Pesquisadores E Departamentos De Economia No Brasil A Partir De Cita��es Internacionais -Jo�o Victor Issler
- B M Bibby
- B Oksendal
- C Paulo
- Capitais Internacionais: Complementares Ou Substitutos? -Carlos Hamilton
- Carlos Viana De Carvalho -Outubro De
- Central Limit Theorem For Asymmetric Kernel Functionals -Marcelo Fernandes
- Choice Of Technique In The Robinson-Solow-Srinivasan Model -M. Ali Khan -Setembro On
- Christian Gourieroux
- D Dacunha-Castelle
- D Dacunha-Castelle
- D Florens-Zmirou
- Debt
- Desenho De Um Sistema De Metas Sociais -Marcelo C�rtes N�ri
- Do
- E Normality Under Uncertainty -Carlos Eug�nio
- E Redistribution With Unobserved &apos
- E Wong
- Elasticity Of
- Endogenous Collateral -Alo�sio Ara�jo
- Endogenous Time-Dependent Rules And The Costs Of Disinflation With Imperfect Credibility -Marco Bonomo
- Ensaios
- Equilibria In Security Markets With A Continuum Of Agents -A F Araujo
- F Black
- Forecasting Electricity Load
- Garantias E Acesso � Cr�dito -Marcelo C�rtes Empres�rios Nanicos
- H Marcos
- H Marcos
- H Sorensen
- Humberto Moreira
- Humberto Moreira
- I Karatzas
- I V Basawa
- Imposto Inflacion�rio E Transfer�ncias
- Incapacidade E A Infla��o Do N�mero De Pessoas Com Defici�ncia -Marcelo Idade
- Infla��o: In�rcia E D�ficit
- J Cox
- J Y Campbell
- Joachim Grammig -Setembro De
- Jos� Fajardo Barbachan
- L P Hansen
- L P Hansen
- M Kessler
- M Kessler
- M Sorensen
- Mario R P�scoa -Novembro De
- N Stokey
- N Yoshida
- N Z Krylov
- Non-Monotone Insurance Contracts And Their Empirical Consequencesalo�sio Araujo
- Nonparametric Specification
- O M�todo
- O Valor Da Moeda E A Teoria Dos Pre�os Dos Ativos -Fernando De Holanda Barbosa
- O Vasicek
- Optimal
- Optimal Auctions
- Output
- P Billingsley
- P E Kloeden
- P E Kloeden
- P R Krugman
- Paulo Klinger Monteiro
- Pessoa Silvia Matos
- Prakasa Rao
- Prakasa Rao
- Prakasa Rao
- Production Functions Used In Empirical Growth Studies -Pedro Cavalcanti Testing
- Rachel Couto Ferreira
- Real Exchange
- Regional Or Educational Disparities? A Counterfactual Exercise -Angelo Jos� Mont&apos
- Renato Luiz
- Risk
- Rubens Penha Cysne
- S Karlin
- Shocks Permanently Change Output? Local Persistency In Economic Time Series -Luiz Renato Do
- Should
- Silva Giovanini -Dezembro Fabiano Da
- Testing Unit Root
- The
- The Set Of Equilibria Of First-Price Auctions -Paulo Klinger Monteiro
- The Trade-Off
- Trade
- Trade
- V P Godambe
- Vari�veis Intrumentais E O Mgm: Uso
- Wagner Soares
- Y Ait-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2014
- Field of study