Arısoy, Y. E.Altay-Salih, A.Pınar, M. Ç.2015-07-282015-07-282014-031544-6123http://hdl.handle.net/11693/12975This 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.EnglishOptionsOptimizationShort-salesConsumption-based CapmArticle10.1016/j.frl.2013.05.007