Shapiro, Matthew D.; Mankiw, N. Gregory - Cowles Foundation for Research in Economics, Yale University - 1985
Much recent work emphasizes the joint nature of the consumption decision and the portfolio allocation decision. In this … measure of an asset's risk is the covariance of the asset's return with the market return. The consumption CAPM, on the other … hand, implies that a better measure of risk is the covariance with aggregate consumption growth. We examine a cross …