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Question

**Question**

There are one risk-free *n* risky assets, and we assume that the risky assets have joint normal returns. Show the followings:

1. If the individual has a constant absolute risk aversion utility function, then the optimal amount invested in risky assets is independent of one’s initial wealth.

2. If the individual has a constant relative risk aversion utility function, then the optimal proportional of wealth invested in risky assets is independent of one’s initial wealth.