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

Gavira Durón Nora () and Venegas Martínez Francisco ()
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Gavira Durón Nora: Instituto Politécnico Nacional
Venegas Martínez Francisco: Instituto Politécnico Nacional
Authors registered in the RePEc Author Service: Francisco Venegas-Martínez

Contaduría y Administración, 2011, vol. 56, issue 2, 151-172

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.

Keywords: comportamiento del consumidor; precios de estado; selección de portafolio; decisiones de inversión (search for similar items in EconPapers)
JEL-codes: D11 G11 G13 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:56:y:2011:i:2:p:151-172

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