Approximate aggregation under uncertainty
For a collection of agents with von Neumann-Morgenstern preferences, a price-independent income distribution, and identical probability beliefs, there exists a von Neumann-Morgenstern approximate aggregator. The risk tolerance of the approximate aggregator is equal to the sum of the individual agent risk tolerances at prices which yield constant, "risk-free", contingent consumption. The application of the approximate aggregator to standard asset pricing models in finance is discussed briefly. © 1986.
- Polemarchakis, HM; Selden, L; Zipkin, P; Pohlman, L
Volume / Issue
- 38 / 2
Start / End Page
- 189 - 210
International Standard Serial Number (ISSN)