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Gestion de portefeuille dans un modéle binomial

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  • Isabelle Bajeux

Abstract

This paper develops a discrete-time model of consumption and portfolio selection under uncertainty in the spirit of MERTON [1973] and Cox, Ross and RUBINSTEIN [1979]. We obtain explicit solutions for general utility functions as well as comparative static results. Finally, we derive an Intertemporal Consumption based Capital Asset Pricing Model a la DUFFIE-ZAME [1987].

Suggested Citation

  • Isabelle Bajeux, 1989. "Gestion de portefeuille dans un modéle binomial," Annals of Economics and Statistics, GENES, issue 13, pages 49-76.
    • Handle: RePEc:adr:anecst:y:1989:i:13:p:49-76
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