Abstract

VENEGAS-MARTINEZ, Francisco. Racionalidad económica implícita en teoría financiera. EconoQuantum [online]. 2007, vol.4, n.1, pp.07-42. ISSN 2007-9869.

The purpose of this paper is to show that the most important financial principles carry implicitly with them the postulate of economic rationality. To do this, the Black-Scholes-Merton (BSM) model that determines the price of a contingent claim is obtained by using the most common financial principles, such as: no arbitrage conditions, hedging, CAPM (Capital Asset Pricing Model), replicating and self-financing portfolios, valuing with NPV (Net Present Value), the Markowitz model, and the Modigliani-Miller theorem, among others. Subsequently, the same results of the bsm model are obtained by using a rational consumer-investor that maximizes utility subject to a budget constraint that considers the possibility of integrating a portfolio with a non-risky bond, a risky asset, and a derivative on such an asset, which confirms the consistency between such financial principles and economic rationality, that is, financial theory is implicitly consistent with the assumption of economic rationality

Keywords : Productos derivados; portafolios; comportamiento del consumidor.

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