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 in which 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. Cet article étudie les conditions requises pour l'aggrégation, la séparation de portefeuille et la complétude effective des allocations compétitives dans les modèles d'équilibre général avec marchés incomplets où les agents ont des préférences et des distributions de dotations initiales générales. Nous montrons que ces propriétés sont distinctes. Les demandes peuvent agréger sans pour autant satisfaire la propriété de séparation de portefeuille et inversement. La séparation de portefeuille implique la complétude effective, tandis que l'agrégation ne l'implique pas. Les conséquences de ces propriétés pour la structure des équilibres sont discutées, et des généralisations du CAPM, du CAPM de consommation et du CAPM avec richesse non négociée émergent de l'analyse.
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Bibliographic InfoPaper provided by CIRANO in its series CIRANO Working Papers with number 97s-11.
Date of creation: 01 Mar 1997
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Aggregation; Efficiency; Mutual Fund Separation; Incomplete Markets; General Preferences; Nontraded Endowments; Agrégation; efficience; séparation de portefeuille; marchés incomplets; préférences générales; dotations non-marchandées;
Other versions of this item:
- JÊrÆme B. Detemple & Piero Gottardi, 1998. "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer, vol. 11(2), pages 443-455.
- 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; Trading Volume; Bond Interest Rates
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