The decomposition of risk in denumerable populations with ex ante identical individuals
成果类型：
Article
署名作者：
Rabault, G
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1998.2486
发表日期：
1999
页码：
157-165
关键词：
摘要：
This paper proposes a framework for the decomposition of risk into an aggregate and an idiosyncratic component which sidesteps the difficulties inherent in continuums of random variables, addressed recently in Al Najjar (Econometrica 63 (1995), 1195-1224). It assumes that the population is denumerable and that individuals are indistinguishable ex ante. In that context, a factorization of risk exists. A a-field of aggregate events can be identified, which is such that all aggregate quantities are measurable with respect to it. Furthermore, the individual characteristics are independent and identically distributed across agents conditionally on the aggregate a-field. (C) 1999 Academic Press.