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      Optimal multi-period consumption and investment with short-sale constraints

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      Author
      Arısoy, Y. E.
      Altay-Salih, A.
      Pınar, M. Ç.
      Date
      2014-03
      Source Title
      Finance Research Letters
      Print ISSN
      1544-6123
      Publisher
      Elsevier
      Volume
      11
      Issue
      1
      Pages
      16 - 24
      Language
      English
      Type
      Article
      Item Usage Stats
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      Abstract
      This article examines agents’ consumption-investment problem in a multi-period pure exchange economy where agents are constrained with the short-sale of state-dependent risky contingent claims. In equilibrum, agents hold options written on aggregate consumption in their optimal portfolios. Furthermore, under the specific case of quadratic utility, the optimal risk-sharing rule derived for the pricing agent leads to a multifactor conditional consumption-based capital asset pricing model (CCAPM), where excess option returns appear as factors.
      Keywords
      Options
      Optimization
      Short-sales
      Consumption-based Capm
      Permalink
      http://hdl.handle.net/11693/12975
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.frl.2013.05.007
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      • Department of Management 570
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