Consider a two period economy with a risk free asset yielding a net return r greater than 0 in period 2 and an infinitely large number of risky assets each paying 1 with probability p element of left square bracket 0 comma 1 right square bracket and 0 with probability 1 minus p in period 2. Suppose that the realized return of each asset is independent of the return of the other assets, that investors are risk averse, and that

All risky assets have the same price equal to RIGHT

Each risky asset is priced as to yield an expected gross return larger than

The price of any risky asset in the first period is larger than to reflect investors' risk aversion

The price of any risky asset in the first period is larger than to reflect systemic risk