NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Consistent Simple Sum Aggregation over Assets

David S. Jones

NBER Working Paper No. 573
Issued in October 1980
NBER Program(s):   ME

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.

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Document Object Identifier (DOI): 10.3386/w0573

 
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