THE AGGREGATION OF INVESTOR'S DIVERSE JUDGMENTS AND PREFERENCES IN PURELY COMPETITIVE SECURITY MARKETS.

This article provides the specifications of the market's composite parameters and probability assessments when investors differ in their investment decisions as well as in their risk-aversion, when there is no riskless asset available for holding or borrowing, and when short sales are limited and when most investors are unaware about the prospects of most available securities. Throughout each section of the article formulae for the Pareto-optimal distribution of the holding of any risk asset among investors will be analysed in terms of each investor's parameters and assessments relative to those of the market.