1. Suppose there are N assets with a return rate of ili = 1, ..., N), which are independent and identically distributed. For an investor with insatiability and concave utility function, find his optimal investment portfolio. Hints. Let a= [a1; 22; ...; an] be the amount of money invested in each security. Then the investor's wealth is w= an (1 + in). 1== The investor's optimal portfolio problem is max E[u] a By solving this probelm, we find a1 = 22 = ... = an. Therefore, his optimal investment port- folio is an equal weight portfolio. 1. Suppose there are N assets with a return rate of ili = 1, ..., N), which are independent and identically distributed. For an investor with insatiability and concave utility function, find his optimal investment portfolio. Hints. Let a= [a1; 22; ...; an] be the amount of money invested in each security. Then the investor's wealth is w= an (1 + in). 1== The investor's optimal portfolio problem is max E[u] a By solving this probelm, we find a1 = 22 = ... = an. Therefore, his optimal investment port- folio is an equal weight portfolio