Gestion de portefeuille dans un modéle binomial

Isabelle Bajeux

Annals of Economics and Statistics, 1989, issue 13, 49-76

Abstract: This paper develops a discrete-time model of consumption and portfolio selection under uncertainty in the spirit of MERTON [1973] and Cox, Ross and RUBINSTEIN [1979]. We obtain explicit solutions for general utility functions as well as comparative static results. Finally, we derive an Intertemporal Consumption based Capital Asset Pricing Model a la DUFFIE-ZAME [1987].

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1989:i:13:p:49-76

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