Abstract
THIS PAPER SHOWS THE CONSISTENCY BETWEEN THE MARKOWITZ-SHARPE'S RATIONALITY PREMISE (MS) USED TO SOLVE DECISION PROBLEMS ABOUT THE ASSETS INTEGRATING A PORTFOLIO AND THE PARETO-WALRAS-MARSHALL'S ECONOMIC RATIONALITY PREMISE (PWM) USED TO SOLVE DECISION PROBLEMS ABOUT THE CONSUMPTION OF GOODS INTEGRATING A BASKET GIVEN A BUDGET CONSTRAINT INCORPORATING ASSETS. BOTH PREMISES ARE BASED ON THE OPTIMIZING BEHAVIOR OF THE AGENTS. IN THE FIRST CASE, INVESTORS MINIMIZE THE VARIANCE OF THE ASSETS RETURNS OF A PORTFOLIO SUBJECT TO AN EXPECTED RETURN. IN THE SECOND CASE, CONSUMERS MAXIMIZE UTILITY FROM THE CONSUMPTION OF A GENERIC GOOD SUBJECT TO A BUDGET CONSTRAINT INCORPORATING THE AVAILABLE ASSETS IN THE ECONOMY. THE CONSISTENCY BETWEEN THE TWO POSTULATES DESCRIBED ABOVE IS SHOWN AS FOLLOWS: UNDER AN ENVIRONMENT OF MARKET RISK GENERATED BY ASSETS WHOSE PRICES ARE DRIVEN BY DIFFUSION PROCESSES BOTH POSTULATES ARE USED TO VALUE A EUROPEAN OPTION. THE MAIN RESULT IS THAT BOTH CASES RESULT IN THE SAME BLACK-SCHOLES-MERTON (1973) PARTIAL DIFFERENTIAL EQUATION THAT CHARACTERIZES THE OPTION PRICE, WHICH AGREES WITH THE PARTIAL DIFFERENTIAL EQUATION© 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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