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.
Тематический раздел:
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"
Ссылки
на статью находится на страничке сайта Elsevier Science, посвященного Journal Financial Economics:
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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