Risk Aversion and Equilibrium Optimal Portfolios inLarge Markets

We consider a simple continuous-time economy, populated by a largenumber of agents, more risk averse than the log agent, with heterogeneousrisk aversion densely covering an interval. Even though thedividend is a geometric Brownian motion, the equilibrium investmentopportunity set is stochastic and optimal portfolios are highly nontrivialand non-myopic. We present closed form asymptotic expressionsfor the optimal portfolios when the horizon, or the volatility ofterminal dividend becomes large. The non-myopic component of theoptimal portfolios is always positive and monotone decreasing in time.[...]