For a collection of agents with von Neumann-Morgenstern preferences, a price-independent income distribution, and identical probability beliefs, there exists a von Neumann-Morgenstern approximate aggregator. The risk tolerance of the approximate aggregator is equal to the sum of the individual agent risk tolerances at prices which yield constant, "risk-free," contingent consumption. The application of the approximate aggregator to standard asset pricing models in finance is discussed briefly.
Pohlman, Larry, Herakles Polemarchakis, Larry Selden, and Paul Zipkin. "Approximate Aggregation under Uncertainty." Journal of Economic Theory 38 (1986): 189-210.
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