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Formalismo canónico en economía aplicado a teoría de portafolios

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  • José Miguel Torres

    ()
    (El Colegio de México)

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    Abstract

    Teoría de portafolios sigue siendo de lo más relevante: la selección de activos para el ahorro es una de las decisiones económicas más importantes. Las decisiones óptimas de los inversionistas de corto plazo no tienen por qué coincidir con las de los de largo plazo, y a principios de los 1970s Merton desarrolló un marco general para entender los efectos de oportunidades de inversión cambiantes sobre la demanda óptima de activos. Por mucho tiempo ha existido una gran brecha entre los desarrollos teóricos y el trabajo empírico, siendo una de las razones principales que resolver el modelo de Merton es muy difícil. Aunque la situación ha empezado a cambiar recientemente gracias a avances en computación y el descubrimiento de soluciones analíticas exactas, estas últimas todavía son muy escasas. En este trabajo desarrollamos una novel aplicando ideas del formalismo canónico de física. En particular, usamos la fórmula de Feynman-Kac para obtener una solución que nos permite hacer estática comparativa muy precisa. Además, empleamos la adjunta de la misma fórmula para identicar la distribución de probabilidad de los rendimientos que, a su vez, puede ser usada para estimar los procesos de difusión (con brincos) involucrados. La identicación emplea transformadas de Fourier.

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    File URL: http://cee.colmex.mx/documentos/documentos-de-trabajo/2013/dt20132.pdf
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    Bibliographic Info

    Paper provided by El Colegio de México, Centro de Estudios Económicos in its series Serie documentos de trabajo del Centro de Estudios Económicos with number 2013-02.

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    Date of creation: Jan 2013
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    Handle: RePEc:emx:ceedoc:2013-02

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    Web page: http://www.colmex.mx/centros/cee/
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    1. Fama, Eugene F, 1970. "Multiperiod Consumption-Investment Decisions," American Economic Review, American Economic Association, vol. 60(1), pages 163-74, March.
    2. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
    3. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, Econometric Society, vol. 41(5), pages 867-87, September.
    4. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
    5. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
    6. Stiglitz, Joseph E, 1970. "A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 37(3), pages 321-51, July.
    7. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 265-296, September.
    8. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
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