01671cam a22002417 4500001000600000003000500006005001700011008004100028100002600069245013800095260006600233490004100299500001400340520069400354530006101048538007201109538003601181700002101217710004201238830007601280856003701356856003601393w0345NBER20180424050936.0180424s1979 mau||||fs|||| 000 0 eng d1 aFriedman, Benjamin M.12aA Note on the Derivation of Linear Homogeneous Asset Demand Functionsh[electronic resource] /cBenjamin M. Friedman, V. Vance Roley. aCambridge, Mass.bNational Bureau of Economic Researchc1979.1 aNBER working paper seriesvno. w0345 aMay 1979.3 aAmong the numerous familiar sets of specific assumptions sufficient to derive mean-variance portfolio behavior from more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint normally distributed asset return assessments are also jointly sufficient to derive asset demand functions with the two desirable (and frequently simply assumed) properties of wealth homogeneity and linearity in expected returns. In addition, in discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield linear homogeneous asset demands as approximations if the time unit is small. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web.1 aRoley, V. Vance.2 aNational Bureau of Economic Research. 0aWorking Paper Series (National Bureau of Economic Research)vno. w0345.4 uhttp://www.nber.org/papers/w034541uhttp://dx.doi.org/10.3386/w0345