Aggregation under homogeneous ambiguity: a two-fund separation result
For a complete-markets economy under which agents' preferences follow \textit{I. Gilboa} and \textit{D. Schmeidler}'s [J. Math. Econ. 18, No. 2, 141--153 (1989; Zbl 0675.90012)] multiple-priors model a set of sufficient conditions is given for the existence of a representative agent at any equilibrium without restricting sets of priors and the aggregate endowment process. The condition the author finds is that agents' felicity functions satisfy the linear risk tolerance condition with the same marginal risk tolerance. A two-fund separation result for an equilibrium follows too.
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