10. (Portfolio optimization) Suppose an investor has utility function U There are n risky assets with rates...
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10. (Portfolio optimization) Suppose an investor has utility function U There are n risky assets with rates of return, i = 1,2, n, and one risk-free asset with rate of return ry. The investor has initial wealth Wa Suppose that the optimal portfolio for this investor has (random) payoff .* Show that E[U'(x)(-1)]=0 for i = 1.2.
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Somshukla Chakraborty
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