Question: Consider two individuals with constant absolute risk aversion preferences facing a choice between the risk free security and a single portfolio of risky securities.

Consider two individuals with constant absolute risk aversion preferences facing a choice between the risk

Consider two individuals with constant absolute risk aversion preferences facing a choice between the risk free security and a single portfolio of risky securities. Investor 1 has $1.0 million of wealth to invest, a risk aversion coefficient of 10-6 and invests $750,000 in the risky portfolio. Investor 2 has risk aversion coefficient of 0.5 x 10-6 and has $1.3 million to invest. What is investor 2's position in the risk free and risky securities?

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