This paper presents a mean-variance model of portfolio choice and asset pricing when the price of consumption goods as well as the return to assets is uncertain. The correlation of an assets return with purchases at expected prices is shown to reduce both the mean return and the variance of the...

Recent studies have presented different views on the relationship between interest rates and commodity prices. The theory of storage and arbitrage approaches fully incorporate nominal interest rates in commodity price spreads. Alternative frameworks admit a relationship between the interest rate...