NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Consumption and Portfolio Choice with Option-Implied State Prices

Yacine Aït-Sahalia, Michael W. Brandt

NBER Working Paper No. 13854
Issued in March 2008

---- Acknowledgements -----

We thank seminar participants at the CIRANO Conference on Portfolio Choice for their comments and suggestions. Financial support from the NSF under grant SBR-0350772, the Bendheim Center for Finance at Princeton University is gratefully acknowledged. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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