Abstract
We use a martingale approach to study optimal intertemporal consumption and portfolio policies in a general discrete‐time, discrete‐state‐space securities market with dynamically incomplete markets and short‐sale constraints. We characterize the set of feasible consumption bundles as the budget‐feasible set defined by constraints formed using the extreme points of the closure of the set of Arrow‐Debreu state prices consistent with no arbitrage, and then establish a relationship between the original problem and a dual minimization problem.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1-10 |
| Number of pages | 10 |
| Journal | Mathematical Finance |
| Volume | 1 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jul 1991 |
| Externally published | Yes |
Keywords
- consumption
- incomplete markets
- martingale
- portfolio policies
- short‐sale
ASJC Scopus subject areas
- Accounting
- Finance
- Social Sciences (miscellaneous)
- Economics and Econometrics
- Applied Mathematics