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Racionalidad economica implicita en teoria financiera

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  • Francisco Venegas-Martinez

    ()
    (Instituto Politecnico Nacional)

Abstract

Este trabajo de investigacion muestra que los principios financieros mas importantes llevan consigo de manera implicita el postulado de racionalidad economica. Para ello, el modelo de Black-Scholes-Merton (BSM) que determina el precio de un producto derivado se obtiene bajo los principios financieros mas conocidos, tales como: condiciones de no arbitraje, coberturas, el modelo capm (Capital Asset Pricing Model), portafolios replicantes y auto-financiables, valuacion con vpn (Valor Presente Neto), el modelo de Markowitz y el teorema de Modigliani-Miller, entre otros. Posteriormente se obtienen los mismos resultados del modelo bsm utilizando un consumidor-inversionista maximizador de utilidad, sujeto a una restriccion presupuestal que considera la posibilidad de integrar, en un portafolio, un bono libre de riesgo, un activo riesgoso y un producto derivado sobre dicho activo, lo que confirma la consistencia de tales principios financieros con la racionalidad economica; es decir, la teoria financiera es implicitamente consistente con el supuesto de racionalidad economica.

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Bibliographic Info

Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

Volume (Year): 4 (2007)
Issue (Month): 1 (Julio - Diciembre)
Pages: 7-42

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Handle: RePEc:qua:journl:v:4:y:2007:i:1:p:7-42

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Web page: http://econoquantum.cucea.udg.mx
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Related research

Keywords: Productos derivados; portafolios; comportamiento del consumidor.;

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