Advanced Search
MyIDEAS: Login to save this article or follow this journal

Consumo y decisiones de portafolio en ambientes estocásticos: un marco teórico unificador

Contents:

Author Info

  • Francisco Venegas Martínez

    ()
    (Instituto Politécnico Nacional, Escuela Superior de Economía.)

  • Abigail Rodríguez Nava

    ()
    (Universidad Autónoma Metropolitana. Departamento de Producción Económica.)

Abstract

This paper is aimed to provide a consistent theoretical framework for the decision making process of a consumer-investor in an environment of risk and uncertainty with constant volatility. In this research, the Wiener and Poisson processes play an essential role in modeling market risk and uncertainty in economic policy. In this context different models of partial equilibrium that characterize consumption and proportions of wealth that a rational consumer allocates to the distinct assets available in the financial markets (domestic and foreign) are systematically examined.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.economia.uanl.mx/revistaensayos/xxviii/2/Consumo-y-decisiones-de-portafolio.pdf
Download Restriction: no

Bibliographic Info

Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXVIII (2009)
Issue (Month): 2 (November)
Pages: 29-64

as in new window
Handle: RePEc:ere:journl:v:xxviii:y:2009:i:2:p:29-64

Contact details of provider:
Postal: Avenida Lazaro Cardenas 4600 Ote., Fraccionamiento Residencial Las Torres, C.P. 64930. Monterrey, Nuevo Leon. México.
Phone: +52 (81) 8329 4150
Fax: +52 (81) 8342 2897
Email:
Web page: http://www.economia.uanl.mx
More information through EDIRC

Order Information:
Email:

Related research

Keywords: Market risk; fiscal policy; stochastic modeling and consumer's inter-temporal decisions;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Penati, Alessandro & Pennacchi, George, 1989. "Optimal portfolio choice and the collapse of a fixed-exchange rate regime," Journal of International Economics, Elsevier, vol. 27(1-2), pages 1-24, August.
  3. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192, September.
  4. Sergio T. Rebelo, 1990. "Long Run Policy Analysis and Long Run Growth," NBER Working Papers 3325, National Bureau of Economic Research, Inc.
  5. Fischer, Stanley, 1975. "The Demand for Index Bonds," Journal of Political Economy, University of Chicago Press, vol. 83(3), pages 509-34, June.
  6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  7. Francisco Venegas-Martínez, 2005. "Bayesian Inference, Prior Information On Volatility, And Option Pricing: A Maximum Entropy Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 1-12.
  8. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
  9. Venegas-Martinez, Francisco, 2006. "Stochastic temporary stabilization: Undiversifiable devaluation and income risks," Economic Modelling, Elsevier, vol. 23(1), pages 157-173, January.
  10. Grinols, Earl L. & Turnovsky, Stephen J., 1994. "Exchange rate determination and asset prices in a stochastic small open economy," Journal of International Economics, Elsevier, vol. 36(1-2), pages 75-97, February.
  11. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  12. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  13. Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
  14. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
  15. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ere:journl:v:xxviii:y:2009:i:2:p:29-64. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dora María Vega Facio).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.