Additional request for homework set 7

[jstac]

Hi all,

I'm reading your analytical exercises for homework set 6 (on projection) and I can see you are pretty good at this analytical stuff, which is very pleasing.

As such, I'm going to request one more thing for homework set 7 (asset pricing). In the remark after exercise 2, I gave you a hint in the form of an inequality. I said that you don't have to prove it but I changed my mind. If you use that inequality, please also supply a nice, neat, simple proof of the inequality itself. If possible, let the index set that the subscript i takes values in be arbitrary, and hence replace max with sup.