On Fully Revealing Prices When Markets Are Incomplete
研究了在不完全资产市场中，即使不确定性来源多于资产数量，价格仍能完全揭示信息的偏好与不确定性结构，并讨论了该结果对需求加总、福利分析和或有债权定价的扩展意义。
The authors investigate the structure of preferences and uncertainty that guarantees that prices are fully revealing even though asset markets are incomplete and there are more sources of uncertainty than assets in the economy. A sufficient condition for fully revealing prices is that investors have preferences of the (possibly state-dependent) linear-risk-tolerance class. Finally, the authors discuss how their result allows one to extend certain existing literature on demand aggregation, welfare analysis, and the pricing of contingent claims to the case in which markets are incomplete and investors have asymmetric private information. Copyright 1995 by American Economic Association.