Consider a model with date0 endowmentsyh0 and date0 consumption ch0 Suppose all investors have log utility, a common discount factor , and no date1 labor income Show that, in a competitive equilibrium, the date0 value of the market portfolio is H h 1 ch0 ...

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Consider a model with date0 endowmentsyh0 and date0 consumption ch0. Suppose all investors have log utility, a

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Consider a model with date–0 endowmentsyh0 and date–0 consumption ch0.

Suppose all investors have log utility, a common discount factor δ, and no date–1 labor income. Show that, in a competitive equilibrium, the date–0 value of the market portfolio is δ

H h=1 ch0.

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Asset Pricing And Portfolio Choice Theory

ISBN: 9780190241148

2nd Edition

Authors: Kerry E. Back

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Question Posted: Jul 20, 2024 09:00 AM

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Consider a model with date0 endowmentsyh0 and date0 consumption ch0. Suppose all investors have log utility, a

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Asset Pricing And Portfolio Choice Theory

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