Show that if each investor has shifted CRRA utility with the same coefficient 0 and shift h, then, as asserted in Section 4 4, any Pareto optimal allocation involves an affine sharing rule ...

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Show that if each investor has shifted CRRA utility with the same coefficient > 0 and

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Show that if each investor has shifted CRRA utility with the same coefficient

ρ > 0 and shift ζh, then, as asserted in Section 4.4, any Pareto-optimal allocation involves an affine sharing rule.

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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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Suppose all investors have shifted CRRA utility with the same coefficient > 0. Suppose w m > . Consider an allocation w h = h + bh(w m ) where H h=1 bh = 1. Show that the allocation is Pareto...
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Show that if each investor has shifted CRRA utility with the same coefficient > 0 and

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Asset Pricing And Portfolio Choice Theory

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