An intertemporal asset pricing model with stochastic consumption and investment opportunities

DOI10.1016/0304-405X(79)90016-3zbMATH Open1131.91330OpenAlexW2082330181WikidataQ56143068 ScholiaQ56143068MaRDI QIDQ5455557FDOQ5455557

Authors: Douglas T. Breeden 

Publication date: 3 April 2008

Published in: Journal of Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-405x(79)90016-3

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Mathematics Subject Classification ID

Cited In (only showing first 100 items - show all)

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• Generic non-existence of equilibria in finance models
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• ARCH modeling in finance. A review of the theory and empirical evidence
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• THE SQUARED ORNSTEIN‐UHLENBECK MARKET
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• MARKET FORCES AND DYNAMIC ASSET PRICING
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• On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
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• LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
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• The role of household debt and delinquency decisions in consumption-based asset pricing
• Equilibrium asset and option pricing under jump diffusion
• Pricing long-lived securities in dynamic endowment economies
• Life insurance and pension contracts. II: The life cycle model with recursive utility
• Sharing idiosyncratic risk even though prices are ``wrong
• Mean-variance analysis and the modified market portfolio
• Effects of a government subsidy and labor flexibility on portfolio selection and retirement
• Optimal consumption of multiple goods in incomplete markets
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• On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference
• EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS
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• In search of statistically valid risk factors
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• An intertemporal capital asset pricing model under incomplete information and short sales

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