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

Author

Listed:
  • 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.

Suggested Citation

  • Francisco Venegas Martínez & Abigail Rodríguez Nava, 2009. "Consumo y decisiones de portafolio en ambientes estocásticos: un marco teórico unificador," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 29-64, November.
  • Handle: RePEc:ere:journl:v:xxviii:y:2009:i:2:p:29-64
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    References listed on IDEAS

    as
    1. Venegas-Martinez, Francisco, 2006. "Stochastic temporary stabilization: Undiversifiable devaluation and income risks," Economic Modelling, Elsevier, vol. 23(1), pages 157-173, January.
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    13. 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 363-384, March.
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    More about this item

    Keywords

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

    JEL classification:

    • H31 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - Household
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making

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