INVERSIÓN BAJO INCERTIDUMBRE

Abstract

The aim of this paper is to relate the General Equilibrium Theory to the Modern Finance Theory, in an economy with a finite amount of contingent goods and a market for financial! assets, a finite number of agents who characterize by initial endowments of goods and utility funtions. The theory is built assuming that the agents display intertemporary utilities with indetermination in the states of the nature. Sufficient conditions for the existence of equilibrium are analyzed, like equilibrium of goods and assets. We show its efficiency and get a sufficient condition for the uniqueness of equilibrium. Finally the returns of assets are characterized that follow processes of Itô and they are related to the CAPM.