In the Chan and Kogan model, show how Eq. (9.20) follows from Eq. (9.6).

Note: with a continuum of individuals, the sum over individuals should be replaced by an integral, that is L l=1

( 1 Al(clt ,Xt)

)

is replaced by ∞

1

( 1 A(ct,Xt;γ ))

dγ , where A(ct, Xt; γ ) is the absolute risk aversion of the individual with utility parameter γ .