ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
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.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1467-9965.1991.tb00012.x
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