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Decisiones óptimas de consumo y portafolio. Un enfoque de precios de estado de Arrow-Debreu

Author

Listed:
  • Gavira Durón Nora

    (Instituto Politécnico Nacional)

  • Venegas Martínez Francisco

    (Instituto Politécnico Nacional)

Abstract

This research develops, under the assumption of complete markets, a stochastic model that explains the decision making process of a rational consumer-investor selecting a portfolio in a market risk environment subject to his budget constraint. The proposed model is developed in the framework of expected utility of von Neumann-Morgenstern type and state prices of Arrow-Debreu type in an infinite planning horizon. The main results are: 1) the proportion that the individual allocates his wealth to the risky asset holding is constant, and 2) the optimal consumption strategy that the agent follows is consuming always the same proportion of his wealth.

Suggested Citation

  • Gavira Durón Nora & Venegas Martínez Francisco, 2011. "Decisiones óptimas de consumo y portafolio. Un enfoque de precios de estado de Arrow-Debreu," Contaduría y Administración, Accounting and Management, vol. 56(2), pages 151-172, mayo - ag.
    • Handle: RePEc:nax:conyad:v:56:y:2011:i:2:p:151-172
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    More about this item

    Keywords

    comportamiento del consumidor; precios de estado; selección de portafolio; decisiones de inversión;
    All these keywords.

    JEL classification:

    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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