This 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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Find related papers by JEL classification: 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
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