Approximate Aggregation under Uncertainty

For a collection of agents with von Neumann-Morgenstern preferences, a price-independent income distribution, and identical probability beliefs, there exists a von Neumann-Morgenstern approximate aggregator. The risk tolerance of the approximate aggregator is equal to the sum of the individual agent risk tolerances at prices which yield constant, "risk-free," contingent consumption. The application of the approximate aggregator to standard asset pricing models in finance is discussed briefly.