Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information
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The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that (a)
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美国国家经济研究局创建时间:
1981-06-01



