Optimal portfolio and consumption decisions under exchange rate and interest rate risks. A jump-diffusion approach
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 diffusion-jump process drives the exchange rate, these processes are supposed to be correlate. We generalize the proposals from...
| Autores: | , |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2010 |
| País: | México |
| Recursos: | Instituto Politécnico Nacional |
| Repositorio: | Repositorio Digital del IPN |
| OAI Identifier: | oai:www.repositoriodigital.ipn.mx:123456789/10559 |
| Acesso em linha: | http://www.repositoriodigital.ipn.mx/handle/123456789/10559 |
| Access Level: | acceso abierto |
| Palavra-chave: | Portfolio choice Intertemporal consumer choice Consumer behavior |
| Resumo: | 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 diffusion-jump process drives the exchange rate, these processes are supposed to be correlate. 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. |
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