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

Simple item page
dc.citation.epage24en_US
dc.citation.issueNumber1en_US
dc.citation.spage16en_US
dc.citation.volumeNumber11en_US
dc.contributor.authorArısoy, Y. E.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.contributor.authorPınar, M. Ç.en_US
dc.date.accessioned2015-07-28T12:04:09Z
dc.date.available2015-07-28T12:04:09Z
dc.date.issued2014-03en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.provenanceMade 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.doi10.1016/j.frl.2013.05.007en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/12975
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.frl.2013.05.007en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectOptionsen_US
dc.subjectOptimizationen_US
dc.subjectShort-salesen_US
dc.subjectConsumption-based Capmen_US
dc.titleOptimal multi-period consumption and investment with short-sale constraintsen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
10.1016-j.frl.2013.05.007.pdf
Size:
331.11 KB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Scholarly Publications - Management
Scholarly Publications - Industrial Engineering