Consider an economy at t = 0 and t = T. Show that under CARA-utility, the stochastic

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Consider an economy at t = 0 and t = T. Show that under CARA-utility, the stochastic discount factor is

if the usual time separable von Neumann-Morgenstern-utility functional is assumed.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 09:07 AM

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Consider an economy at t = 0 and t = T. Show that under CARA-utility, the stochastic

Question:

MT=ePT-a(Cr-c»)

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The stochastic discount factor for a CARAutility function is given by the following equati...View the full answer

A First Course in Quantitative Finance

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