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An intertemporal asset pricing model with stochastic consumption and investment opportunities

Опубликовано на портале: 02-10-2003
Journal of Financial Economics. 1979.  Vol. 7. No. 3. P. 265-296. 
This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the aggregate real consumption rate, rather than relative to the market. In a single-good model, an individual's asset portfolio results in an optimal consumption rate that has the maximum possible correlation with changes in aggregate consumption. If the capital markets are unconstrained Pareto-optimal, then changes in all individuals' optimal consumption rates are shown to be perfectly correlated.

Материалы статьи используются в книге Брейли и Майерса "Принципы корпоративных финансов"

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Financial Economics
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http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-45KNKYW-4V&_user=10&_coverDate=09%2F30%2F1979&_rdoc=3&_fmt=summary&_orig=browse&_sort=d&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=00731df68a4e565be8c70dfd2b7c26f5
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