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4. Consider an economy with three stocks A, B and C with the Amihud measures of 0.5%, 0.3%, and 0.2%, respectively, and three investors X.


4. Consider an economy with three stocks A, B and C with the Amihud measures of 0.5%, 0.3%, and 0.2%, respectively, and three investors X. Y, and Z with the average trade size of $5 million, $2 million, and $1 million, respectively. What is the equilibrium, in which each investor holds only one stock? Assume that the expected before-cost returns to A, B, and C are 10%, 11%, and 13%, respectively.

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