3. (Risk aversion invariance) Suppose U(x) is a utility function with Arrow-Pratt risk aver- sion coefficient a(x)

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3. (Risk aversion invariance) Suppose U(x) is a utility function with Arrow-Pratt risk aver- sion coefficient a(x) Let V(x)=c+bU (x) What is the risk aversion coefficient of V?

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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Question Posted: Jul 29, 2024 07:09 AM

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3. (Risk aversion invariance) Suppose U(x) is a utility function with Arrow-Pratt risk aver- sion coefficient a(x)

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Investment Science

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