Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Hence

⅛i

7

de_i ∕dε

A_i ■ —

^c I—7

Divide (30) by f (e_iε) and aggregate. This yields

¹ = -^τ'^(e) ∑^-dif^fl⁽<Ы = ~'⁽^⁾ ∑ (a ⁺1—-) ⁽dJ^fiAA    ⁽³⁵⁾

i                                       i 7                  ' /

Now divide (30) by f_i (⅛)∙ This and (35) yield

The left hand side of this equation, multiplied by -1, equals the term in
the squared bracket of (34). Hence it follows that

Mne g_il ≡ (Г ⁺ ɪ^{/ /} l'^{a +} ɪ)

Then (37) yields

43

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