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Consider a risk averse investor whose preferences satisfy decreasing relative risk aversion. There are two types of assets: a risky asset and a safe asset.

Consider a risk averse investor whose preferences satisfy decreasing relative risk aversion. There are two types of assets: a risky asset and a safe asset. Assume that the investor invests a positive proportion of his total wealth in the risky asset. Does the proportion of his total wealth invested in the risky asset increase in his wealth? Explain your answer as precisely as possible.

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