Huang, James and Adam-Mueller, Axel (2012) Necessary and sufficient conditions on Gorman aggregation in securities markets with heterogeneous beliefs. Working Paper. Lancaster University, Lancaster.
Full text not available from this repository.Abstract
Given a group of agents who have divergent beliefs and heterogeneous preferences, we derive a necessary and sufficient condition for the group's aggregate demand for securities to be independent of initial wealth distributions. We also present a necessary and sufficient condition for asset prices to be independent of initial wealth distributions in an economy with heterogeneous beliefs. Contrary to the common belief in the literature, equicautious HARA utility functions are not necessary for Gorman aggregation in securities markets.