Optimal Multi-Period Consumption and Investment with Short-Sale Constraints

Yakup Arisoy (), Aslihan Altay-Salih and Mustafa Pinar

Post-Print from HAL

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.

Keywords: Theoretical Asset Pricing; Options; Optimization; Short-sales; Consumption-based CAPM (search for similar items in EconPapers)
Date: 2014-03
References: Add references at CitEc
Citations:

Published in Finance Research Letters, 2014, 11 (1), ⟨10.1016/j.frl.2013.05.007⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Optimal multi-period consumption and investment with short-sale constraints (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01634168

DOI: 10.1016/j.frl.2013.05.007

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().