The Arrow-Pratt relative risk aversion coefficient is [mu(x)=frac{x U^{prime prime}(x)}{U^{prime}(x)} .] Show that the utility functions $U(x)=ln

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The Arrow-Pratt relative risk aversion coefficient is

\[\mu(x)=\frac{x U^{\prime \prime}(x)}{U^{\prime}(x)} .\]

Show that the utility functions $U(x)=\ln x$ and $U(x)=\gamma x^{\gamma}$ have constant relative risk aversion coefficients.

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Investment Science

ISBN: 9780199740086

2nd Edition

Authors: David G. Luenberger

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Question Posted: Apr 20, 2024 12:00 PM

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The Arrow-Pratt relative risk aversion coefficient is [mu(x)=frac{x U^{prime prime}(x)}{U^{prime}(x)} .] Show that the utility functions $U(x)=ln

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Investment Science

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