An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities

@inproceedings{Breeden1979AnIA,
  title={An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities},
  author={D. Breeden},
  year={1979}
}
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 singlegood model, an individual’s asset portfolio results in an optimal consumption rate that has the maximum possible correlation… Expand
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