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

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Arisoy Y. E., Salih A., Pinar M. C.

FINANCE RESEARCH LETTERS, cilt.11, sa.1, ss.16-24, 2014 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 11 Sayı: 1
  • Basım Tarihi: 2014
  • Doi Numarası: 10.1016/j.frl.2013.05.007
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.16-24
  • Anahtar Kelimeler: Options, Optimization, Short-sales, Consumption-based CAPM, STOCK RETURNS, CAPITAL-MARKET, ASSET PRICES, EQUILIBRIUM, STRATEGIES, VOLATILITY, OPINION, OPTIONS
  • TED Üniversitesi Adresli: Hayır

Özet

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. (C) 2013 Elsevier Inc. All rights reserved.