Aggregation, efficiency and mutual fund separation in incomplete markets
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 11 (1998)
Issue (Month): 2 ()
Note: Received: September 12, 1996; revised version: November 7, 1996
Contact details of provider:
Web page: http://link.springer.de/link/service/journals/00199/index.htm
Other versions of this item:
- Jérôme B. Detemple & Piero Gottardi, 1997. "Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets," CIRANO Working Papers 97s-11, CIRANO.
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mantel, Rolf R., 1976. "Homothetic preferences and community excess demand functions," Journal of Economic Theory, Elsevier, vol. 12(2), pages 197-201, April.
- Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
- Michael Jerison, 1997.
"Nonrepresentative Representative Consumers,"
97-01, University at Albany, SUNY, Department of Economics.
- Brennan, M. J. & Kraus, A., 1976. "The Geometry of Separation and Myopia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(02), pages 171-193, June.
- Lewbel, A. & Perraudin, W.R.M., 1992. "Mutual Fund Separation with General Preferences," Cambridge Working Papers in Economics 9212, Faculty of Economics, University of Cambridge.
- Bottazzi, Jean-Marc & Hens, Thorsten, 1996. "Excess Demand Functions and Incomplete Markets," Journal of Economic Theory, Elsevier, vol. 68(1), pages 49-63, January.
- Mossin, Jan, 1969. "Security Pricing and Investment Criteria in Competitive Markets," American Economic Review, American Economic Association, vol. 59(5), pages 749-56, December.
- Debreu, Gerard, 1974. "Excess demand functions," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 15-21, March.
- Lewbel, Arthur, 1989. "A Demand System Rank Theorem," Econometrica, Econometric Society, vol. 57(3), pages 701-05, May.
- Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
- Chipman, John S., 1974. "Homothetic preferences and aggregation," Journal of Economic Theory, Elsevier, vol. 8(1), pages 26-38, May.
- Milne, Frank, 1979. "Consumer Preferences, Linear Demand Functions and Aggregation in Competitive Asset Markets," Review of Economic Studies, Wiley Blackwell, vol. 46(3), pages 407-17, July.
- Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, vol. 1(3), pages 225-244, September.
- Thorsten Hens & Piero Gottardi, 1999. "Disaggregation of excess demand and comparative statics with incomplete markets and nominal assets," Economic Theory, Springer, vol. 13(2), pages 287-308.
- Ross, Stephen A., 1978. "Mutual fund separation in financial theory--The separating distributions," Journal of Economic Theory, Elsevier, vol. 17(2), pages 254-286, April.
- Pilgrim, Beate, 2002. "Non-equivalence of uniqueness of equilibria in complete and in incomplete market models," Research in Economics, Elsevier, vol. 56(2), pages 143-156, June.
- Herings,O. Jean-Jacques & Kubler,Felix, 2000. "The Robustness of CAPM-A Computational Approach," Research Memoranda 035, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
- P. Jean-Jacques Herings & Felix Kubler, 2000.
"The Robustness of the CAPM-A Computational Approach,"
Econometric Society World Congress 2000 Contributed Papers
0400, Econometric Society.
- Herings, P.J.J. & Kubler, F., 1999. "The Robustness of the CAPM - A Computational Approach," Discussion Paper 1999-54, Tilburg University, Center for Economic Research.
- Hens, Thorsten, 2001. "An extension of Mantel (1976) to incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 36(2), pages 141-149, November.
- Hens, Thorsten & Reimann, Stefan & Vogt, Bodo, 2004. "Nash competitive equilibria and two-period fund separation," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 321-346, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.