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Decisiones de consumo y portafolio con Utilidad Diferencial Recursiva Estocastica (UDRE): Modelos alternativos

Listed author(s):
  • Isela Elizabeth Tellez Leon

    ()

    (Instituto Politecnico Nacional)

  • Francisco Venegas Martinez

La elasticidad de sustitucion intertemporal y el coeficiente de aversion al riesgo se obtienen regularmente de modelos de valuacion de activos basados en el consumo como en Merton (1973), Lucas (1978), Breeden (1979) y Maenhout (2004). Sin embargo, esta vision es criticada por dos razones: la primera relacionada con el aspecto empirico, ya que en diversas investigaciones practicas, los modelos no se ajustan a los datos, y la segunda es que no distinguen entre la elasticidad de sustitucion intertemporal y el coeficiente de aversion al riesgo debido a la forma funcional de la utilidad que suponen estos enfoques. Evidentemente, estos dos conceptos son de gran utilidad para la teoria economica, ya que se refieren a aspectos diferentes y relevantes sobre las preferencias de los consumidores. Esta investigacion se concentra en el segundo problema, siendo el objetivo utilizar el concepto de Utilidad Diferencial Recursiva Estocastica (UDRE) para obtener los parametros en cuestion de manera separada, pero dentro de un mismo modelo. Bajo este marco se desarrollan varios modelos de decision de un consumidor racional con acceso a diferentes activos; esto permite obtener una mejor interpretacion y explicacion de los mencionados parametros. Por ultimo, se realizan ejercicios de estatica comparativa para explicar la dinamica de las variables de decision ante cambios en las variables independientes con datos de la economia mexicana.

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File URL: http://www.revistascientificas.udg.mx/index.php/EQ/article/view/6021/5471
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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): 13 (2016)
Issue (Month): 2 (Julio-Diciembre)
Pages: 51-75

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Handle: RePEc:qua:journl:v:13y:2016:i:2:p:51-75
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