INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES

被引：1003

作者：

BREEDEN, DT

机构：

[1] Stanford University, Stanford

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1979年 / 7卷 / 03期

关键词：

D O I：

10.1016/0304-405X(79)90016-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. © 1979.

引用

页码：265 / 296

页数：32

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