### Question based on optimal portfolio

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##### Reference no: EM1373183

Assume that a risk averse individual has \$1, and there are 3-assets; 1st safe, and 2nd risky. The safe one yields a sure rate of return of 1. The risky ones have distribution functions F(y1) and F(y2) where assets have independent and identical distributions. Demonstrate that both risky assets have the same share in the optimal portfolio.

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