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- Title
Aggregation, efficiency and mutual fund separation in incomplete markets.
- Authors
Detemple, Jérôme B.; Gottardi, Piero
- Abstract
Summary. 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.
- Subjects
PORTFOLIO management (Investments); ASSET allocation; ECONOMIC equilibrium
- Publication
Economic Theory, 1998, Vol 11, Issue 2, p443
- ISSN
0938-2259
- Publication type
Article
- DOI
10.1007/s001990050196