Keywords
contingent pricing
portfolio choice
investment
How to Cite
Abstract
This research develops, under the assumption of complete markets, a stochastic model that explains the decision making process of a rational consumer-investor selecting a portfolio in a market risk environment subject to his budget constraint. The proposed model is developed in the framework of expected utility of von Neumann-Morgenstern type and state prices of Arrow-Debreu type in an infinite planning horizon. The main results are: 1) the proportion that the individual allocates his wealth to the risky asset holding is constant, and 2) the optimal consumption strategy that the agent follows is consuming always the same proportion of his wealth.© 2018, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Contaduría y Administración. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
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