unknown

Aggregation in Incomplete Market with General Utility Functions

Abstract

This paper tackles the "aggregation problem" for stochastic economies with possibly incomplete market. An "aggregation theorem" is proved towards an analytic construction of the representative agent’s utility function. This is done within a general time-state setup with general utility functions and without restrictions on the initial resource allocations. Welfare implications, concerning the social welfare loss resulting from market incompleteness, are readily reflected from the constructed representative agent’s utility function

    Similar works