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

  • Isela Elizabeth Téllez-León Escuela Superior de Economía, Instituto Politécnico Nacional
  • Francisco Venegas-Martínez Escuela Superior de Economía, Instituto Politécnico Nacional.
Palabras clave: Portfolio choice, consumption, mathematical methods, optimization techniques

Resumen

The intertemporal elasticity of substitution and the risk aversion coefficient are regularly obtained from models for the valuation of assets based on consumption as in Merton (1973), Lucas (1978), Breeden (1979) and Maenhout (2004). However, this approach is criticized for two reasons: the first is related to the empirical issue, since in practical research the models do not fit the data, and the second one does not distinguish between intertemporal elasticity of substitution and risk aversion coefficient due the functional form of utility assumed in this approach. Evidently, these two concepts are useful in the economic theory, since they are related to different relevant aspects of consumer preferences. This research focuses on the second problem, being the goal of this paper to use the concept of Recursive Stochastic Differential Utility to obtain the parameters in question, separately, but in the same model. Under this framework, several continuous-time decision making models of a rational consumer having access to different assets are developed, this allows a better interpretation and explanation of the mentioned parameters. Finally, comparative static exercises are performed to explain the dynamics of the decision variable to changes in the independent variables with Mexican data.

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Publicado
2016-08-21
Cómo citar
Téllez-León, I., & Venegas-Martínez, F. (2016). Decisiones de consumo y portafolio con Utilidad Diferencial Recursiva Estocástica (UDRE): Modelos alternativos. EconoQuantum, 13(2), 51-75. https://doi.org/10.18381/eq.v13i2.6021