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dc.contributor.authorArisoy, Eser*
dc.contributor.authorAltay-Salih, Aslihan*
dc.contributor.authorPinar, Mustafa*
dc.date.accessioned2012-09-26T13:51:52Z
dc.date.available2012-09-26T13:51:52Z
dc.date.issued2014-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10229
dc.language.isoenen
dc.subjectTheoretical Asset Pricingen
dc.subjectOptions
dc.subjectOptimization
dc.subjectShort-sales
dc.subjectConsumption-based CAPM
dc.subject.ddc332en
dc.subject.classificationjelD.D5.D50en
dc.subject.classificationjelD.D5.D52en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G12
dc.titleOptimal Multi-Period Consumption and Investment with Short-Sale Constraintsen
dc.title.alternativeShort Sales Constraints, Options and CCAPMen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherBilkent University;Turquie
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameFinance Research Letters
dc.relation.isversionofjnlvol11
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2014-03
dc.relation.isversionofjnldate2014-03
dc.relation.isversionofjnlpages16–24
dc.relation.isversionofdoi10.1016/j.frl.2013.05.007
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingprintnon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.person.labIds*
hal.person.labIds*
hal.identifierhal-01634168*


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