Large economies with differential information but without free disposal

We consider exchange economies with a continuum of agents and differential information about finitely many states of nature. It was proved in Einy, Moreno and Shitovitz (2001) that if we allow for free disposal in the market clearing (feasibility) constraints then an irreducible economy has a competitive (or Walrasian expectations) equilibrium, and moreover, the set of competitive equilibrium allocations coincides with the private core. However when feasibility is defined with free disposal, competitive equilibrium allocations may not be incentive compatible and contracts may not be enforceable (see e.g. Glycopantis, Muir and Yannelis (2002)). This is the main motivation for considering equilibrium solutions with exact feasibility. We first prove that the results in Einy et al. (2001) are still valid without freedisposal. Then we define an incentive compatibility property motivated by the issue of contracts’ execution and we prove that every Pareto optimal exact feasible allocation is incentive compatible, implying that contracts of competitive or core allocations are enforceable.

Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility

We consider exchange economies with a continuum of agents and differential information about finitely many states of nature. It was proved in Einy, Moreno and Shitovitz (2001) that if we allow for free disposal in the market clearing (feasibility) constraints then an irreducible economy has a competitive (or Walrasian expectations) equilibrium, and moreover, the set of competitive equilibrium allocations coincides with the private core. However when feasibility is defined with free disposal, competitive equilibrium allocations may not be incentive compatible and contracts may not be enforceable (see e.g. Glycopantis, Muir and Yannelis (2002)). This is the main motivation for considering equilibrium solutions with exact feasibility. We first prove that the results in Einy et al. (2001) are still valid without free-disposal. Then we define an incentive compatibility property motivated by the issue of contracts’ execution and we prove that every Pareto optimal exact feasible allocation is incentive compatible, implying that contracts of a competitive or core allocations are enforceable.

Escolha social e valores irredutíveis: uma aproximação da economia política e a ideologia

No presente paper, nós provamos que qualquer função da escolha social satisfaz o princípio da independência das alternativas irrelevantes (IIA) de Arrow se o comportamento individual é menu-dependente. Portanto, o 'Teorema da Possibilidade Geral' de Arrow não é válido quando as preferências individuais são determinadas por valores irredutíveis. Nesse contexto, qualquer instrumento de agregação que satisfaça os princípios não-ditatoriais e paretianos de unanimidade (maioria simples, por exemplo) também faz IIA. Esse poderia ser um resultado importante para a teoria da escolha social, enquanto um comportamento individual determinado por valores irredutíveis (interesse próprio, ideologia, Ética e normas sociais, por exemplo) podendo validar democracia representativa. A importância relativa de tais valores e da possibilidade de reversão da preferência determina a dinâmica da escolha social, de acordo com os princípios democráticos.

O desafio de reconhecimento do sujeito cego em espaços públicos de representação

This work is funded based on the uneasiness with the concept of State as a public machine for development. Of State as a public machine to deliberate valid practices for valid methods and to limit valid subjects in valid spaces. In midst of this specific context, this work dedicates itself to investigate the following research problem: the mistaken recognition of the blind subject in public spaces of representation. For this reason, it was addressed the following question: how the blind subject is recognized in public spaces of representation? To answer the question, it was necessary to contextualize how the blind subject is being recognized in various public spaces of representation. In the international scope, the human rights debate held between the National States was analyzed (BRAND, 2005; KOERNER, 2002; UN, 2006). In the national arena, constitutional rights, federal laws, public policies and institutions representing the blind subject were examined (CABRAL, 2008; SARAVIA, 2006). Finally, in a local context, the fundaments of the concept of citizen for the subject recognition were investigated (AGAMBEN, 2002; RORTY, 1999, DELEUZE AND GUATTARI, 1996). The methodology included reports of national and international representatives in the Lusophone Countries Meeting for Dissemination and Implementation of the Convention on the Rights of Persons with Disabilities and, mainly, interviews with blind subjects. The data was processed by content analysis and was discussed based on the following categories: representation spaces; representation modes; representation amplitude; representation premises. The results show, regarding such spaces of representation, the growing importance of thinking the rights of persons with disabilities ¿ group in which belongs the blind subject ¿ as of the international and national scenario. However, the blind subjects announced alternative local spaces for representation: church, internet, radio, etc. Regarding the representation modes, the role of law and standards has been advocated specially in the human rights field. The importance of the cooperation between the States and the civil society to ensure, in practice, the rights achieved was also emphasized. But other forms of representation, directly linked to each interviewee¿ history, was important. Regarding the representation amplitude, there were arguments in defense of a conception of human dignity and freedom to all inhabitants of the globe. The lusophone event highlighted the concern of the cultural peculiarities of those involved in the meeting. The blind interviewees argued for citizenship as construction of instruments for freedom and autonomy, but recognized that this is not a clear desire between the blind people in general, and even less in society as a whole. With respect to the representation premises, the fundaments for the recognition of the blind subject were based on the primacy of reason at the expense of personal experimentation. Experimentation that serves as the foundation of a new form of recognition of the blind subject in public spaces of representation, one more interested in singularities, impenetrable by reason, unmovable to another, and which are irreducible to each subject. The final considerations suggest that if the State has a reason to be, this is not another than to offer instruments to manifest as many as the existential possibilities of the subject. This is the concept of State for development.

Precificação de opções de dólar no mercado brasileiro utilizando redes neurais e algoritmos genéticos

Esse trabalho comparou, para condições macroeconômicas usuais, a eficiência do modelo de Redes Neurais Artificiais (RNAs) otimizadas por Algoritmos Genéticos (AGs) na precificação de opções de Dólar à Vista aos seguintes modelos de precificação convencionais: Black-Scholes, Garman-Kohlhagen, Árvores Trinomiais e Simulações de Monte Carlo. As informações utilizadas nesta análise, compreendidas entre janeiro de 1999 e novembro de 2006, foram disponibilizadas pela Bolsa de Mercadorias e Futuros (BM&F) e pelo Federal Reserve americano. As comparações e avaliações foram realizadas com o software MATLAB, versão 7.0, e suas respectivas caixas de ferramentas que ofereceram o ambiente e as ferramentas necessárias à implementação e customização dos modelos mencionados acima. As análises do custo do delta-hedging para cada modelo indicaram que, apesar de mais complexa, a utilização dos Algoritmos Genéticos exclusivamente para otimização direta (binária) dos pesos sinápticos das Redes Neurais não produziu resultados significativamente superiores aos modelos convencionais.

Volatility Triggered Range Forward (VTRF): an instrument for protection against volatility fluctuations in the BRL/USD pair

Este trabalho propõe um instrumento capaz de absorver choques no par BRL/USD, garantindo ao seu detentor a possibilidade de realizar a conversão entre essas moedas a uma taxa observada recentemente. O Volatility Triggered Range Forward assemelha-se a um instrumento forward comum, cujo preço de entrega não é conhecido inicialmente, mas definido no momento em que um nível de volatilidade pré-determinado for atingido na cotação das moedas ao longo da vida do instrumento. Seu cronograma de ajustes pode ser definido para um número qualquer de períodos. Seu apreçamento e controle de riscos é baseado em uma árvore trinomial ponderada entre dois possíveis regimes de volatilidade. Esses regimes são determinados após um estudo na série BRL/USD no período entre 2003 e 2009, basedo em um modelo Switching Autoregressive Conditional Heteroskedasticity (SWARCH).