Consider a one-period economy with a single risk asset and a risk-free rate equal to zero. The risky asset, present in positive xed supply Q (with Q> 0), is a claim on a single cash ow, Z, that is realized at the end of the period (F1). Z is normally distributed with variance equal to 1. The risky asset is traded at price P at the beginning of the period (t=0). Agent i (who takes price P) as given) solves the problem of maximizing her expected utility at i=0, max E: [Ui (wi )] D. 5'1.sz =w+ DI(Z -P) where w? is agent is initial level of wealth