Increases in risk aversion and optimal shares. Suppose that both individuals have exponential utility functions and thus constant absolute risk aversion. Show that an increase in a’s coefficient of...

Increases in risk aversion and optimal shares. Suppose that both individuals have exponential utility functions and thus constant absolute risk aversion. Show that an increase in a’s coefficient of risk aversion will increase a’s share if and only if a’s coefficient of relative risk aversion is less than one. What is the rationale for the result? (Hint: what happens to a’s marginal utility if the coefficient of absolute risk aversion increases?)