INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES
INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES
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DOI：
10.1016/0304-405x(79)90016-3
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发表时间：
1979-01-01
影响因子：
8.9
通讯作者：
BREEDEN, DT
中科院分区：
文献类型：
--
作者：
BREEDEN, DT
在消费品价格和投资机会均不确定的多商品连续时间模型中，建立了一个单贝塔资产定价模型。当不存在无风险资产时，推导出零贝塔定价模型。资产贝塔系数是相对于总真实的消费率的变化来衡量的，而不是相对于市场。在单一商品模型中，个人的资产组合导致最优消费率，该消费率与总消费变化的相关性最大。如果资本市场是无约束帕累托最优的，那么所有个人的最优消费率的变化是完全相关的。
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.