{"id":{"repo_id":"rosario","oai_identifier":"oai:repository.urosario.edu.co:10336/44990"},"canonical_url":"https://search.dev.ndltd.org/etd/rosario/oai:repository.urosario.edu.co:10336/44990","repository":{"repo_id":"rosario","name":"Universidad del Rosario","base_url":"https://repository.urosario.edu.co/oai/request"},"display":{"title":"How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?","abstract":"Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se ven afectadas las políticas de inversión óptimas cuando el agente recibe una renta laboral estocástica y tiene una esperanza de vida estocástica? ¿Cuál es el impacto en la política óptima del agente con una renta laboral estocástica y una esperanza de vida estocástica cuando esta utilidad es constante con aversión al riesgo relativo? ¿Cómo puede la autofinanciación ayudar a maximizar el consumo del empresario mientras invierte capital en múltiples factores de producción y en presencia de shocks exógenos relacionados con shocks en el mercado financiero?","abstract_html":"Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se ven afectadas las políticas de inversión óptimas cuando el agente recibe una renta laboral estocástica y tiene una esperanza de vida estocástica? ¿Cuál es el impacto en la política óptima del agente con una renta laboral estocástica y una esperanza de vida estocástica cuando esta utilidad es constante con aversión al riesgo relativo? ¿Cómo puede la autofinanciación ayudar a maximizar el consumo del empresario mientras invierte capital en múltiples factores de producción y en presencia de shocks exógenos relacionados con shocks en el mercado financiero?","abstract_has_math":false,"creators":["Castillo Tarazona, Camilo Andre"],"institution":"Universidad del Rosario","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2025,"date_issued":"2025-01-08","date_published":"2025-01-08","updated_at":"2026-07-27T20:46:46Z","subjects":["Inversión óptima","Ingreso","Programación dinámica estocástica","Diferencias Finitas","Optimal Investment","Income","Stochastic dynamic programming"],"languages":["eng"],"rights":["info:eu-repo/semantics/openAccess"],"rights_urls":["http://creativecommons.org/licenses/by-nc-sa/4.0/"],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["https://repository.urosario.edu.co/handle/10336/44990"],"render_values":[{"text":"https://repository.urosario.edu.co/handle/10336/44990","href":"https://repository.urosario.edu.co/handle/10336/44990","code":true}]}]},"links":{"outbound_url":"https://doi.org/10.48713/10336_44990","outbound_label":"DOI","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Castillo Tarazona, Camilo Andre"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2025-01-08","2025-02-18T17:19:36Z"]},{"key":"dc:publisher","label":"Institution","values":["Universidad del Rosario","Facultad de Economía","Doctorado en Economía"]},{"key":"dc:type","label":"Dc Type","values":["info:eu-repo/semantics/doctoralThesis","info:eu-repo/semantics/acceptedVersion"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Inversión óptima","Ingreso","Programación dinámica estocástica","Diferencias Finitas","Optimal Investment","Income","Stochastic dynamic programming"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["info:eu-repo/semantics/openAccess","http://creativecommons.org/licenses/by-nc-sa/4.0/"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://doi.org/10.48713/10336_44990","https://repository.urosario.edu.co/handle/10336/44990"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se ven afectadas las políticas de inversión óptimas cuando el agente recibe una renta laboral estocástica y tiene una esperanza de vida estocástica? ¿Cuál es el impacto en la política óptima del agente con una renta laboral estocástica y una esperanza de vida estocástica cuando esta utilidad es constante con aversión al riesgo relativo? ¿Cómo puede la autofinanciación ayudar a maximizar el consumo del empresario mientras invierte capital en múltiples factores de producción y en presencia de shocks exógenos relacionados con shocks en el mercado financiero?","This dissertation presents three studies on the optimal investment/saving policies incontexts where the agent’s or firm’s income, whether endogenous or exogenous, iscorrelated with other sources of uncertainty. The included works address fundamentalquestions such as: How are optimal investment policies affected when the agentreceives a stochastic labor income and has a stochastic life span? What is theimpact on the agent’s optimal policy with stochastic labor income and stochasticlife span when this utility is constant relative risk aversion? How can self-financinghelp maximize the entrepreneur’s consumption while investing capital in multipleproduction factors and in the presence of exogenous shocks that are related to shocksin the financial market?"]},{"key":"dc:format","label":"Dc Format","values":["131 pp","application/pdf"]},{"key":"dc:source","label":"Dc Source","values":["Bouchard, Bruno; Pham, Huyên (2004) Wealth-path dependent utility maximization in incomplete markets. Vol. 8; No. 4; pp. 579–603 - 579–603;","Jeanblanc, Monique; Mastrolia, Thibaut; Possamaı̈, Dylan; Réveillac, Anthony (2015) Utility maximization with random horizon: a BSDE approach. 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Vol. 106; No. 1; pp. 1–23 - 1–23;","instname:Universidad del Rosario","reponame:Repositorio Institucional EdocUR"]},{"key":"dc:title","label":"Title","values":["How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?","¿Cómo influye la correlación entre los ingresos de un agente y el mercado financiero en la asignación óptima de la cartera?"]}]}],"canonical_facts":{"dc:creator":["Castillo Tarazona, Camilo Andre"],"dc:date":["2025-01-08","2025-02-18T17:19:36Z"],"dc:description":["Esta tesis presenta tres estudios sobre las políticas óptimas de inversión/ahorro en contextos en los que la renta del agente o de la empresa, ya sea endógena o exógena, está correlacionada con otras fuentes de incertidumbre. Los trabajos incluidos abordan cuestiones fundamentales como: ¿Cómo se ven afectadas las políticas de inversión óptimas cuando el agente recibe una renta laboral estocástica y tiene una esperanza de vida estocástica? ¿Cuál es el impacto en la política óptima del agente con una renta laboral estocástica y una esperanza de vida estocástica cuando esta utilidad es constante con aversión al riesgo relativo? ¿Cómo puede la autofinanciación ayudar a maximizar el consumo del empresario mientras invierte capital en múltiples factores de producción y en presencia de shocks exógenos relacionados con shocks en el mercado financiero?","This dissertation presents three studies on the optimal investment/saving policies incontexts where the agent’s or firm’s income, whether endogenous or exogenous, iscorrelated with other sources of uncertainty. The included works address fundamentalquestions such as: How are optimal investment policies affected when the agentreceives a stochastic labor income and has a stochastic life span? What is theimpact on the agent’s optimal policy with stochastic labor income and stochasticlife span when this utility is constant relative risk aversion? How can self-financinghelp maximize the entrepreneur’s consumption while investing capital in multipleproduction factors and in the presence of exogenous shocks that are related to shocksin the financial market?"],"dc:format":["131 pp","application/pdf"],"dc:identifier":["https://doi.org/10.48713/10336_44990","https://repository.urosario.edu.co/handle/10336/44990"],"dc:language":["eng"],"dc:publisher":["Universidad del Rosario","Facultad de Economía","Doctorado en Economía"],"dc:rights":["info:eu-repo/semantics/openAccess","http://creativecommons.org/licenses/by-nc-sa/4.0/"],"dc:source":["Bouchard, Bruno; Pham, Huyên (2004) Wealth-path dependent utility maximization in incomplete markets. Vol. 8; No. 4; pp. 579–603 - 579–603;","Jeanblanc, Monique; Mastrolia, Thibaut; Possamaı̈, Dylan; Réveillac, Anthony (2015) Utility maximization with random horizon: a BSDE approach. 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Vol. 106; No. 1; pp. 1–23 - 1–23;","instname:Universidad del Rosario","reponame:Repositorio Institucional EdocUR"],"dc:subject":["Inversión óptima","Ingreso","Programación dinámica estocástica","Diferencias Finitas","Optimal Investment","Income","Stochastic dynamic programming"],"dc:title":["How does the correlation between an agent’s income and financial market impact optimal portfolio allocation?","¿Cómo influye la correlación entre los ingresos de un agente y el mercado financiero en la asignación óptima de la cartera?"],"dc:type":["info:eu-repo/semantics/doctoralThesis","info:eu-repo/semantics/acceptedVersion"]},"updated_at":"2026-07-27T20:46:46Z"}