Given a power utility function (u(x)=frac{x^{1-a}}{1-a}), for (a>0), and a random variable (tilde{x}) such that (log tilde{x})
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Given a power utility function \(u(x)=\frac{x^{1-a}}{1-a}\), for \(a>0\), and a random variable \(\tilde{x}\) such that \(\log \tilde{x}\) is distributed as a Normal \(\mathscr{N}\left(\mu, \sigma^{2}\right)\), determine the risk premium.
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Related Book For
Financial Markets Theory Equilibrium Efficiency And Information
ISBN: 9781447174042
2nd Edition
Authors: Emilio Barucci, Claudio Fontana
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