a more aggressive investor, i.e. an investor, who uses a higher exogenous
benchmark return or, in the case of an endogenous benchmark, demands a
higher expected portfolio return.
Proposition 6 characterizes the sharing rules of investors.
Proposition 6 ; Consider two investors i and j who have HARA-risk func-
tions with the same 7.
a) Suppose that the risk sensitivity, ∣1∩ ∕A* for 7 > -∞ resp. BWq for
7 = -∞, is higher for investor i than for investor j and/or she demands
a higher expected portfolio return. Then investor i,s sharing rule is strictly
convex relative to that of investor j.
bl) Suppose that for both investors the risk sensitivity is the same, but
investor i demands a higher expected portfolio return. Then there exists some
portfolio return R1 such that
Ri < [=][>]Rj for Rj < [=][>]R1.
b2) Suppose that the risk sensitivity is higher for investor i but both in-
vestors demand the same expected portfolio return. Then there exist R0 and
R°° with R0 < R00 such that
Ri > Rj for Rj < R0 and Rj > R00,
Ri < Rj for R0 < Rj < R00.
Proof. See Appendix E.
25
More intriguing information
1. The name is absent2. Lumpy Investment, Sectoral Propagation, and Business Cycles
3. Palkkaneuvottelut ja työmarkkinat Pohjoismaissa ja Euroopassa
4. Surveying the welfare state: challenges, policy development and causes of resilience
5. The name is absent
6. Parent child interaction in Nigerian families: conversation analysis, context and culture
7. The name is absent
8. American trade policy towards Sub Saharan Africa –- a meta analysis of AGOA
9. Short- and long-term experience in pulmonary vein segmental ostial ablation for paroxysmal atrial fibrillation*
10. The name is absent