Essays about: "Expo-Power Utility function"
Found 1 essay containing the words Expo-Power Utility function.
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1. Discrete gambles Theoretical study - Johan Eklund
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Given a gamble opportunity with a positive expected return, the question to be asked is: How much money should I gamble?In this thesis, we study how a gambler who holds a general expo-power utility function allocates wealth in discrete gambles. The analyzed gambles are the following: a single binary gamble, equivalent to betting on a tennis match, a double binary gamble, equivalent to betting on two simultaneous tennis matches, and a discrete financial market gamble, equivalent to betting on a financial asset with a discrete outcome distribution. READ MORE