Let y = ex , where x is normally distributed with mean and variance 2. Show

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Let y˜ = ex˜

, where x˜ is normally distributed with mean μ and variance σ2.

Show that stdev(y˜)

E[˜y] =

eσ 2 −1 .

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Asset Pricing And Portfolio Choice Theory

ISBN: 9780190241148

2nd Edition

Authors: Kerry E. Back

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Question Posted: Jul 20, 2024 09:00 AM

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Let y = ex , where x is normally distributed with mean and variance 2. Show

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Asset Pricing And Portfolio Choice Theory

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