The total market containing all assets is in equilibrium where all investors have the same utility functions and hold the same fully diversifed total market portfolio. This is not an equilibrium, however, where they have different utility functions, even if they are all risk averse. Then investors can all increase their utility by reallocating the market returns among themselves on a non pro-rata basis. Even in a perfect market the utility maximizing investment strategy for risk averse investors with different utility functions requires them to bear idiosyncratic risk, providing a role for asset transformation. The maximum or minimum asset prices at which an investor will transact in pursuance of greater portfolio utility are unique to that investor and the existing market state.
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