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The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets

Published online by Cambridge University Press:  19 October 2009

John Lintner
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Extract

The vector of equilibrium aggregate market values (or per share prices) of a given set of risk assets trading in purely competitive markets of individually risk-averse investors has been derived in earlier work under certain simplifying assumptions, including the absence of taxes and transactions costs and a single (uniform) holding period for the assessment of uncertain outcomes (See [8], [9], [10], [15], and [12]). The other critical assumptions in these studies were (a) the existence of a riskless asset available for holding or borrowing at a fixed, exogenously determined interest rate, (b) an assumption that all investors act in terms of identical joint probability distributions over end-of-period outcomes, and (c) the acceptance of a mean-variance criterion for portfolio decisions.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 4 , Issue 4 , December 1969 , pp. 347 - 400
Copyright
Copyright © School of Business Administration, University of Washington 1969

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References

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