Abstract

TELLEZ-LEON, Isela Elizabeth  and  VENEGAS-MARTINEZ, Francisco. Decisiones de consumo y portafolio con Utilidad Diferencial Recursiva Estocástica (UDRE): Modelos alternativos. EconoQuantum [online]. 2016, vol.13, n.2, pp.51-75. ISSN 2007-9869.

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.

Keywords : Portfolio choice; consumption; mathematical methods: optimization techniques.

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