本文以抗通膨資產做為實質投資人評價實質超額報酬的基礎， 推導出二因子實質消費資本資產訂價模型，均衡模型中的二個因子 分別是通膨風險因子與消費成長風險因子。實證結果顯示，二因子 實質消費資本資產訂價模型可以解釋 30.23% 橫斷面股票報酬之變 異。在本文架構下，本文導出 S+2 共同基金定理，這些基金可能為 (1) 完全規避通膨風險債券資產；(2) 市場投資組合；(3) S 個有高度 相關性的投資組合。

This paper derives an inter-temporal asset pricing model in a realterm, continuous-time framework. When inflation-indexed securities are available, we are able to derive a two-factor asset pricing model in terms of consumption growth, and inflation rate change. Under the framework of this paper, we demonstrate that the theorem of S+2 funds separation applies. These funds may be chosen to be: (1) an instantaneously inflation-indexed bond, (2) a market portfolio, and (3) S portfolios having the highest correlations, respectively, with the S state variables.

實質消費;共同基金定理;完全規避通膨風險債券資產

Real Consumption; Mutual Fund Theorem; Inflation-indexed Securities