Inversión bajo incertidumbre

Abstract

The aim of this paper is to relate the General Equilibrium Theory and modern Finance Theory. We work with an infinite dimensional economy with a market for goods an actives, and where the number of agents is finite. Each agent has an intertemporal utility function with uncertainty on the states of the world. We characterize the equilibrium with actives and spot goods and analyze sufficient conditions for the existence of equilibrium in this case. We show that it is possible to extend to infinite dimensional models the Chichilnisky theorem on uniqueness of equilibrium. Finally we analyze payoffs and prices of actives that follow Ito processes in a CCAPM frame.