Aggregation, efficiency and mutual fund separation in incomplete markets

被引：0

作者：

Jérôme B. Detemple

Piero Gottardi

机构：

[1] Faculty of Management,

[2] McGill University,undefined

[3] 1001 Sherbrooke Street West,undefined

[4] Montreal,undefined

[5] H3A 1G5 and CIRANO,undefined

[6] Montreal,undefined

[7] H3A 2A5,undefined

[8] CANADA,undefined

[9] Dipartimento di Scienze Economiche,undefined

[10] Università Cà Foscari di Venezia,undefined

[11] I-30123 Venezia,undefined

[12] ITALY,undefined

来源：

Economic Theory | 1998年 / 11卷

关键词：

JEL Classification Numbers: D52; G11; G12.;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper studies the conditions for aggregation, portfolio separation and effective completeness of competitive allocations in general equilibrium models with incomplete markets where agents have general preference and endowment distributions. We show that these properties are distinct. Demands may aggregate yet may fail to exhibit fund separation and conversely. Fund separation implies effective completeness while aggregation does not. The implications of these properties for the structure of equilibria are discussed, and generalizations of the CAPM, the consumption CAPM and the CAPM with nonmarketed wealth emerge from the analysis.

引用

页码：443 / 455

页数：12