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Consistent Simple Sum Aggregation over Assets

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  • David S. Jones

Abstract

This paper discusses the issue of consistent simple sum aggregation over assets within the context of expected utility maximizing investors. The first part of the paper extends the Hicks and Leontief aggregation theorems of consumer choice theory to the portfolio choice problem. Next, necessary and sufficient conditions for consistent simple sum aggregation are derived for Nerton's (1973) continuous-time trading model of investor behavior. Results relating to the construction of consistent rate of return indices for simple sum composite assets are also presented.

Suggested Citation

  • David S. Jones, 1980. "Consistent Simple Sum Aggregation over Assets," NBER Working Papers 0573, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:0573
    Note: ME
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    References listed on IDEAS

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    1. Friedman, Benjamin M, 1977. "Financial Flow Variables and the Short-Run Determination of Long-Term Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 85(4), pages 661-689, August.
    2. Friedman, Benjamin Morton, 1977. "Financial Flow Variables and the Short-Run Determination of Long-Term Interest Rates," Scholarly Articles 4554309, Harvard University Department of Economics.
    3. Friend, Irwin & Landskroner, Yoram & Losq, Etienne, 1976. "The Demand for Risky Assets under Uncertain Inflation," Journal of Finance, American Finance Association, vol. 31(5), pages 1287-1297, December.
    4. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    5. Charles Blackorby & Daniel Primont & R. Robert Russell, 1975. "Budgeting, Decentralization, and Aggregation," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 4, number 1, pages 23-48, National Bureau of Economic Research, Inc.
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