IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Aggregation and the Law of Large Numbers in Economies with a Continuum of Agents

  • Nabil Al-Najjar
Registered author(s):

    This paper develops a framework in which a model with a continuum of agents and with individual and aggregate risks can be viewed as an idealization of large finite economies. The paper identifies conditions under which a sequence of finite economies gives rise to a limiting continuum economy in which uncertainty has a simple structure. The state space is the product of aggregate states and micro-states; aggregate states represent economy-wide random aggregate fluctuations, while micro-states reflect individual shocks which fluctuate independently around aggregate states and have no further discernible structure. In the special case where shocks in the finite economies are exchangable, the limiting economy satisfies a continuum-version of de Finetti's Theorem. The paper then uses this framework to derive implications for the interpretations of the Strong Law of Large Numbers and the Pettis Integral.

    If 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.

    File URL: http://www.kellogg.northwestern.edu/research/math/papers/1160.pdf
    File Function: main text
    Download Restriction: no

    Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 1160.

    as
    in new window

    Length:
    Date of creation: Mar 1996
    Date of revision:
    Handle: RePEc:nwu:cmsems:1160
    Contact details of provider: Postal: Center for Mathematical Studies in Economics and Management Science, Northwestern University, 580 Jacobs Center, 2001 Sheridan Road, Evanston, IL 60208-2014
    Phone: 847/491-3527
    Fax: 847/491-2530
    Web page: http://www.kellogg.northwestern.edu/research/math/
    Email:


    More information through EDIRC

    Order Information: Email:


    References listed on IDEAS
    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.:

    as in new window
    1. Harald Uhlig, 2010. "A Law of Large Numbers for Large Economies," Levine's Working Paper Archive 2070, David K. Levine.
    2. Stinchcombe, Maxwell B., 1990. "Bayesian information topologies," Journal of Mathematical Economics, Elsevier, vol. 19(3), pages 233-253.
    3. Judd, Kenneth L., 1985. "The law of large numbers with a continuum of IID random variables," Journal of Economic Theory, Elsevier, vol. 35(1), pages 19-25, February.
    4. Al-Najjar, Nabil Ibraheem, 1995. "Decomposition and Characterization of Risk with a Continuum of Random Variables," Econometrica, Econometric Society, vol. 63(5), pages 1195-1224, September.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:nwu:cmsems:1160. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fran Walker)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.