Arısoy, Yakup Eser; Altay-Salih, Aslıhan; Pınar, … - In: Finance Research Letters 11 (2014) 1, pp. 16-24
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....