As in Sect. 5.1, let us consider an economy comprising \(I\) individuals with increasing and strictly concave utility functions \(u^{i}, N\) risky assets with normally distributed returns and a risk free asset with risk free rate of return \(r_{f}\). Denoting by \(\widetilde{W}^{i *}\) the optimal consumption of agent \(i\), for \(i=1, \ldots, I\), define the global absolute risk aversion coefficient as the quantity

\[\theta_{i}:=-\frac{\mathbb{E}\left[u^{i^{\prime \prime}}\left(\widetilde{W}^{i *}\right)\right]}{\mathbb{E}\left[u^{i^{\prime}}\left(\widetilde{W}^{i *}\right)\right]}\]

By relying on equilibrium arguments, express the risk premium of the market portfolio in terms of the global absolute risk aversion coefficients of the agents.