文章基本信息

标题：Optimal portfolio and consumption decisions under exchange rate and interest rate risks. A jump-diffusion approach
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作者：Francisco Venegas Martínez ; Abigail Rodríguez Nava
期刊名称：Contaduría y Administración
印刷版ISSN：0186-1042
出版年度：2010
期号：230
页码：9-24
语种：English
出版社：Universidad Nacional Autónoma de México
摘要：This research develops a stochastic model of the consumer's decision making under an environment of risk and uncertainty. In the proposed model agents perceive that a mixed diffusionjump process drives the exchange rate depreciation and a diffusion process governs the real interest rate, these processes are supposed to be correlated. We generalize the proposals from Giuliano and Turnovsky (2003), Grinols and Turnovsky (1993) and Merton (1969 and 1971) by including sudden and unexpected jumps in the stochastic dynamics of relevant variables in the intended model. We examine portfolio, consumption and wealth equilibrium dynamics under the optimal decisions. We also assess the effects on portfolio, consumption and welfare of sudden and permanent changes in the parameters determining the expectations of the exchange rate depreciation.
其他摘要：This research develops a stochastic model of the consumer's decision making under an environment of risk and uncertainty. In the proposed model agents perceive that a mixed diffusionjump process drives the exchange rate depreciation and a diffusion process governs the real interest rate, these processes are supposed to be correlated. We generalize the proposals from Giuliano and Turnovsky (2003), Grinols and Turnovsky (1993) and Merton (1969 and 1971) by including sudden and unexpected jumps in the stochastic dynamics of relevant variables in the intended model. We examine portfolio, consumption and wealth equilibrium dynamics under the optimal decisions. We also assess the effects on portfolio, consumption and welfare of sudden and permanent changes in the parameters determining the expectations of the exchange rate depreciation.
关键词：Portfolio choice; intertemporal consumer choice; consumer behavior. Selección de portafolio; selección intertemporal de consumo; conducta del consumidor.