In the setting of Proposition 8.12, show that the equilibrium price is a weighted average of the

Question:

In the setting of Proposition 8.12, show that the equilibrium price is a weighted average of the agents' conditional expectations of the future dividend plus a noise term. Moreover, show that, if uninformed traders become risk neutral (i.e., $a^{\text {un }} \rightarrow 0$ ), then the equilibrium price functional \(\phi^{*}

(d, u)\) converges to $\mathbb{E}[\tilde{d} \mid p]$.

Data From Proposition 8.12

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