# An intertemporal asset pricing model with stochastic consumption and investment opportunities

Book Section

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 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.

### Full Text

### Duke Authors

### Cited Authors

- Breeden, DT

### Published Date

- January 1, 2005

### Book Title

- Theory of Valuation, Second Edition

### Start / End Page

- 53 - 84

### International Standard Book Number 10 (ISBN-10)

- 9812563741

### International Standard Book Number 13 (ISBN-13)

- 9789812563743

### Digital Object Identifier (DOI)

- 10.1142/9789812701022_0003

### Citation Source

- Scopus