Consumption Risk in Futures MarketsDouglas T. Breeden1980-05-01articleThe Journal of Finance123 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesStochastic processes and financial applicationsMarket Dynamics and VolatilityAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 123 citations exist upstream.References1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1979An intertemporal asset pricing model with stochastic consumption and investment opportunities1978Prices of State-Contingent Claims Implicit in Option Prices2006Stochastic Differential Equations1972Stochastic Differential Equations1973Futures Trading and Investor Returns: An Investigation of Commodity Market Risk PremiumsCited by2013Broker-Dealer Risk Appetite and Commodity Returns1993Macroeconomic Influences and the Variability of the Commodity Futures Basis1994Open Access and the Evolution of the U. S. Spot Market for Natural Gas2013Effects of speculation and interest rates in a “carry trade” model of commodity prices1982Issues in futures markets: A survey1990South African political unrest, oil prices, and the time varying risk premium in the gold futures market1989Determinants of Hedging and Risk Premia in Commodity Futures Markets1985An Investigation of Commodity Futures Prices Using the Consumption-Based Intertemporal Capital Asset Pricing Model