An intertemporal asset pricing model with stochastic consumption and investment opportunities

@article{breeden79, 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.}, author = {Breeden, Douglas T.}, citeulike-article-id = {157314}, doi = {10.1016/0304-405X(79)90016-3}, journal = {Journal of Financial Economics}, keywords = {asset\_pricing, macroeconomics}, month = {September}, number = {3}, pages = {265--296}, posted-at = {2005-04-09 18:10:59}, priority = {2}, title = {An intertemporal asset pricing model with stochastic consumption and investment opportunities}, url = {http://dx.doi.org/10.1016/0304-405X(79)90016-3}, volume = {7}, year = {1979} }

TY - JOUR ID - breeden79 L3 - citeulike-article-id:157314 N2 - 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. IS - 3 JF - Journal of Financial Economics EP - 296 TI - An intertemporal asset pricing model with stochastic consumption and investment opportunities VL - 7 SP - 265 KW - asset_pricing KW - macroeconomics AU - Breeden, Douglas PY - 1979/09// UR - http://dx.doi.org/10.1016/0304-405X(79)90016-3 ER -