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


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.


Arrow, K. J. (1965). La teoría de la aversión al riesgo, en Ensayos en la Teoría de la asunción de riesgos, Markham Publ. Co., Chicago, pp. 90-109.

Breeden, D. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics, 7(2): 265-296.

Breeden, D., Gibbons, M. y Litzenberger, R. (1989). Empirical tests of the consumption oriented CAPM. Journal of Finance, 44(2): 231-262.

Black, F. y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3): 637-654

Constantinides, G. (1990). Habit formation: A resolution of the equity premium puzzle, Journal of Political Economy, 98(3): 519-543.

Cox, J., Ingersoll, J. y Ross, S. (1985). An intertemporal general equilibrium model of asset prices. Econometrica, 53(2): 363-384.

Detemple, J. y Zapatero, F. (1991). Optimal consumption portfolio policies with habit formation. Econometrica, 59(6): 1633-1657.

Duffie, D. y Epstein, L. (1992). Stochastic differential utility. Econometrica, 60(2):


Epstein, L. y Zin, S. (1989). Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework, Econometrica, 57(4): 937-969.

Epstein, L. y Zin, S. (1991a). Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis, Journal of Political Economy,99(2): 263-286.

Epstein, L. y Zin, S. (1991b). The independence axiom and asset returns. Working Paper 109. National Bureau of Economic Research.

Epstein, L. (1992). Behavior under risk: Recent developments in theory and applications. In J. J. Laffont (ed.), Advances in economic theory, Cambridge University Press, Cambridge.

Heaton, J. (1991). An empirical investigation of asset pricing with temporally dependent preference specifications. Working Paper 3245.91, Sloan School of Management, MIT.

Hindy, A. y Huang, C. F. (1990). Optimal consumption and portfolio rules with local substitution, Working Paper 89, revised, Alfred P. Sloan School of Management, MIT.

Huang, C. F. (1987). An intertemporal general equilibrium asset pricing model. Econometrica, 55(2): 117-142.

Lucas, R. (1978). Asset prices in an exchange economy, Econometrica, 46(6): 1429-1446.

Merton, R. C. (1973). An intertemporal asset pricing model. Econometrica, 41(5): 867-887.

Maenhout, P. J. (2004). Robust portfolio rules and asset pricing. The Review of Financial Studies, 17(4): 951-983.

Mehra. R. y Prescott, E. (1985). The equity premium: A puzzle, Journal of Monetary Economics, 15(6): 145-161.

Rivera-Hernández, E. C. y Venegas-Martínez, F. (2014). Análisis empírico de la tasa subjetiva de descuento para el consumidor mexicano. Eseconomía, Revista de Estudios Económicos, Tecnológicos y Sociales, 9(40): 115-132.

Roll, R. (1977). A critique of the asset pricing theory’s tests: Part I: On past and potential testability of the theory, Journal of Financial Economics, 4(2): 129-176.

Sundaresan, S. M. (1989), Intertemporally dependent preferences and the volatility of consumption and wealth. Review of Financial Studies, 2(1): 73-89.

Chatterjee, S., Giuliano, P. y Turnovsky, S. J. (2004). Capital income taxes and growth in a stochastic economy: A numerical analysis of the role of risk aversion and intertemporal substitution. Journal of Public Economic Theory, 6(2): 277-310.

Venegas-Martínez, F., Téllez-León, I. E. y Ortiz-Arango, F. (2013). Utilidad Diferencial Recursiva Estocástica (UDRE) vs. Hamilton-Jacobi-Bellman (HJB). En Francisco Ortiz Arango, Francisco López Herrera y Francisco Venegas Martínez (Coords.). Avances recientes en valuación de activos y administración de riesgos, Vol. 4. Universidad Panamericana, Universidad Nacional Autónoma de México, Instituto Politécnico Nacional, México. pp. 293-310.

Venegas-Martínez, F. (2008). Riesgos financieros económicos: productos derivados y decisiones económicas bajo incertidumbre. 2da. edición, Cengage, México.

Venegas-Martínez, F. (1999). Crecimiento endógeno, dinero, impuestos y deuda externa. Investigación Económica, 59(229): 15-36.

Venegas-Martínez, F. y González-Aréchiga, B. (2000). Mercados financieros incompletos y su impacto en los programas de estabilización de precios: el caso mexicano. Momento Económico, 111: 20-27.

Weil, P. (1990). Non-expected utility in macroeconomics, Quarterly Journal of Economics,

(1): 29-42.

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.