Optimal portfolio and risk averse


Problem: Suppose that a risk averse individual has $1, and there are three assets; one safe, and two risky. The safe one yields a sure rate of return of 1. The risky ones have distribution functions F(y1) and F(y2) where assets have independent and identical distributions. Show that both risky assets have the same share in the optimal portfolio.

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Managerial Economics: Optimal portfolio and risk averse
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