Optimal multi-period consumption and investment with short-sale constraints
dc.citation.epage | 24 | en_US |
dc.citation.issueNumber | 1 | en_US |
dc.citation.spage | 16 | en_US |
dc.citation.volumeNumber | 11 | en_US |
dc.contributor.author | Arısoy, Y. E. | en_US |
dc.contributor.author | Altay-Salih, A. | en_US |
dc.contributor.author | Pınar, M. Ç. | en_US |
dc.date.accessioned | 2015-07-28T12:04:09Z | |
dc.date.available | 2015-07-28T12:04:09Z | |
dc.date.issued | 2014-03 | en_US |
dc.department | Department of Management | en_US |
dc.description.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. | en_US |
dc.description.provenance | Made available in DSpace on 2015-07-28T12:04:09Z (GMT). No. of bitstreams: 1 10.1016-j.frl.2013.05.007.pdf: 339059 bytes, checksum: c4361e9d3395b3652c6568acd8d6c1f2 (MD5) | en |
dc.identifier.doi | 10.1016/j.frl.2013.05.007 | en_US |
dc.identifier.issn | 1544-6123 | |
dc.identifier.uri | http://hdl.handle.net/11693/12975 | |
dc.language.iso | English | en_US |
dc.publisher | Elsevier | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1016/j.frl.2013.05.007 | en_US |
dc.source.title | Finance Research Letters | en_US |
dc.subject | Options | en_US |
dc.subject | Optimization | en_US |
dc.subject | Short-sales | en_US |
dc.subject | Consumption-based Capm | en_US |
dc.title | Optimal multi-period consumption and investment with short-sale constraints | en_US |
dc.type | Article | en_US |
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