MISERY LOVES COMPANY: EQUILIBRIUM PORTFOLIOS WITH HETEROGENEOUS CONSUMPTION EXTERNALITIES*
扩展了Arrow-Debreu投资组合模型，引入消费外部性，发现当群体从众程度满足一定条件时，有外部性的均衡等价于调整风险厌恶后的无外部性情形，否则群体无代表性主体且对零均值彩票需求可能为正，并刻画了从众分布与风险分配及股权溢价的关系。
The present article extends the Arrow–Debreu portfolio model to consumption externalities. It is assumed that each investor has a von Neumann–Morgenstern utility that is a function of her own consumption and of the average consumption in the group to which she belongs. Individual degrees of risk aversion and conformism are heterogeneous within each group and between the different groups in the economy. We show that, under some conditions on the degree of conformism in the economy, the optimal portfolio and consumption choices observed at equilibrium in each group with consumption externalities are equivalent to those that are optimal without any externality, but with an adjusted degree of risk aversion. If these conditions are not fulfilled, groups have no representative agent and the demand for pure zero‐mean lotteries may be positive, thereby showing that not all diversifiable risks are washed away at equilibrium. We characterize the relationship between the distribution of conformism in the economy to the competitive allocation of risk and to the equity premium. We provide conditions for the two‐fund separation property to hold.