Optimal multi-period consumption and investment with short-sale constraints
Arisoy, Y. E.
Altay Salih, A.
Pinar, M. C.
Finance Research Letters
Arısoy, Y. E., Altay-Salih, A., & Pınar, M. Ç. (2014). Optimal multi-period consumption and investment with short-sale constraints. Finance Research Letters, 11(1), 16-24.
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/12975
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. 2013 Elsevier Inc. All rights reserved.
- Department of Management