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

John Lintner

Journal of Financial and Quantitative Analysis, 1969, vol. 4, issue 4, 347-400

Abstract: 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.

Date: 1969
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