AN EXTENSION OF A THEOREM BY MITJUSHIN AND POLTEROVICH TO INCOMPLETE MARKETS

This paper generalises the Mitjushin-Polterovich theorem to the case o f economies with incomplete financial markets where utility functions are of the von-Neumann-Morgenstern type. We thus give a sufficient con dition on the joint distribution of the asset payoffs and the endowmen ts which guarantees strict monotonicity of individual demand functions if the utility functions display small relative risk aversion. (C) 19 98 Elsevier Science S.A. All rights reserved.