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



It remains to be shown for 7 < 1 that g⅛ε 1 for ε → ∞. For ε ,
e → ∞ for at least one investor. By equation (43), e → ∞ if πε1+si 0.
Since
πε1 + si > 0 Vi, ε and s⅛ < Sj Vj, j = h,πε 1 + si0 for ε → ∞
must hold for i = h only. Hence ehε → ∞ and, therefore, by equation (44),
ghε 1 for ε → ∞. It follows from πε1 + s⅛0 for ε → ∞ and πε > 0
that
Sfl must not exceed 1.                                                

46



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