TY - JOUR
TI - An intertemporal asset pricing model with stochastic consumption and
investment opportunities
T2 - Journal of Financial Economics
IS - 3
KW - asset pricing models
KW - investment
KW - portfolio theory
KW - stochastics
AB - 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.
AU - Breeden, Douglas T.
UR - http://ecsocman.hse.ru/text/16830531/
PY - 1979
SP - 265-296
M2 - 265
VL - 7
SN -
N1 -
LA - EN
CY -
PB -
M3 -
LB -
VL -
ER -