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Journal Articles Finance Research Letters Year : 2014

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

Aslihan Altay-Salih
  • Function : Author
Mustafa Pinar
  • Function : Author

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.

Dates and versions

hal-01634168 , version 1 (13-11-2017)

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Eser Arisoy, Aslihan Altay-Salih, Mustafa Pinar. Optimal Multi-Period Consumption and Investment with Short-Sale Constraints. Finance Research Letters, 2014, 11 (1), ⟨10.1016/j.frl.2013.05.007⟩. ⟨hal-01634168⟩
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