John Lintner

Optimal Dividends and Corporate Growth under Uncertainty

Introduction, 49. — I. Some important definitions and building-blocks, 53. — II. The cost of capital and optimal dividends and growth under certainty, 58. — III. Simple stochastic unlevered growth, 65. — IV. Optimal (expectationally) steady growth, capital budgets, dividends and retentions, when σ2pt increases with futurity, 76. — V. Summary of conclusions, 91.

The Market Price of Risk, Size of Market and Investor's Risk Aversion: A Reply

Where G is the geometric mean rate of return on the individuals net worth. W,k is the kth individuals initial wealth. Using this approximation, the market price of risk, 4)-1, is equal to HaIM. The inclividual investors risk aversion is W11,-1, E(1 R1,) _ W*1,k, and HaIM (I W*1k)l. k Under the assumption that expected future prices are independent of current prices, the market price It may be noted that the Bernoulli utility function, unlike the quadratic and exponential utility of risk is unaffected by changes in the number of investors.