On the robustness of factor structures to asset repackaging

The paper provides a framework to study asset repackaging in a large asset economy, modeled as an atomless measure space of assets. The main theorem s hows that, given an initial economy with strict factor space F, any economy obtained by repackaging these assets has a unique factor space F' subset o f F. Thus, in contrast to earlier literature, factor structures are robust to the repackaging of asset. (C) 1999 Elsevier Science S.A. All rights rese rved.