An intertemporal asset pricing model with stochastic consumption and investment opportunities |
| |
Authors: | Douglas T Breeden |
| |
Institution: | Stanford University, Stanford, CA 94305, USA |
| |
Abstract: | 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. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|