Consider a CARA investor with n risky assets having normally distributed returns, as studied in Section 2.4, but suppose there is no risk-free asset, so the budget constraint is ι



φ = w0. Show that the optimal portfolio is

φ = 1

α

−1

μ +

αw0 − ι



−1μ

αι

−1ι



−1

ι.

Note: As will be seen in Section 5.2, the two vectors −1

μ and −1ι play an important role in mean-variance analysis even without the CARA-normal assumption.