Let us assume a distribution of returns and risk-averse utility function. Un- der what conditions will all investors demand the same portfolio of risky assets?

Investors are rational, mean-variance optimizers. Investors have homogeneous expectations (identical input lists). All assets are publicly held and trade on public exchanges, short positions are allowed, and investors can borrow or lend at a common risk-free rate. No transaction costs. No taxes. All information is publicly available. All assets are publicly held and trade on public exchanges, short positions are allowed, and investors can borrow or lend at a common risk-free rate.