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Formalismo canónico en economía aplicado a teoría de portafolios

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  • José Miguel Torres

    (El Colegio de México)

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 identificar la distribución de probabilidad de los rendimientos que, a su vez, puede ser usada para estimar los procesos de difusión (con brincos) involucrados. La identificación emplea transformadas de Fourier.

Suggested Citation

  • José Miguel Torres, 2013. "Formalismo canónico en economía aplicado a teoría de portafolios," Serie documentos de trabajo del Centro de Estudios Económicos 2013-02, El Colegio de México, Centro de Estudios Económicos.
    • Handle: RePEc:emx:ceedoc:2013-02
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    References listed on IDEAS

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    More about this item

    Keywords

    ahorro; activos; portafolio;
    All these keywords.

    JEL classification:

    • A20 - General Economics and Teaching - - Economic Education and Teaching of Economics - - - General

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